Moment redundancy test with application to efficiency-improving copulas

Moment redundancy as defined by Breusch et al. (1999) is a testable hypothesis. We propose a simple test of the hypothesis in the context of copula-based pseudo-maximum likelihood estimation considered by Prokhorov and Schmidt (2009b). A robust and efficiency-improving parametric copula permits siza...

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Bibliographic Details
Published inEconomics letters Vol. 171; pp. 29 - 33
Main Authors Hao, Bowen, Prokhorov, Artem, Qian, Hailong
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.10.2018
Elsevier Science Ltd
Subjects
Bias
Copulas
Generalized method of moments
GMM
Hypotheses
Hypothesis testing
Maximum likelihood method
Moment redundancy
Probability
Redundancy
Moment redundancy
Copulas
C13
C12
GMM
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Summary:Moment redundancy as defined by Breusch et al. (1999) is a testable hypothesis. We propose a simple test of the hypothesis in the context of copula-based pseudo-maximum likelihood estimation considered by Prokhorov and Schmidt (2009b). A robust and efficiency-improving parametric copula permits sizable improvement in precision at no cost in terms of bias and the proposed test can be used to select such copulas. •Moment redundancy is a testable hypothesis. We propose a redundancy test in the context of copula-based pseudo-maximum likelihood estimation.•A robust and efficiency-improving parametric copula permits improvement in precision at no cost in terms of bias.•The proposed test can be used to select such copulas.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2018.07.009