A goodness-of-fit test for copulas

Artem Prokhorov

MPRA Paper from University Library of Munich, Germany

Abstract: A new goodness-of-fit test of copulas is proposed. It is based on restrictions on certain elements of the information matrix and so relates to the White (1982) specification test. The test avoids the need to correctly specify and consistently estimate a parametric model for the marginal distributions. It does not involve kernel weighting and bandwidth selection or parametric bootstrap and is relatively simple compared to other available tests.

JEL-codes: C13 (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (6)

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https://mpra.ub.uni-muenchen.de/9998/1/MPRA_paper_9998.pdf original version (application/pdf)

Related works:
Working Paper: A Goodness-of-fit Test for Copulas (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:9998

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