Moment redundancy test with application to efficiency-improving copulas
Artem Prokhorov and
Economics Letters, 2018, vol. 171, issue C, 29-33
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.
Keywords: GMM; Moment redundancy; Copulas (search for similar items in EconPapers)
JEL-codes: C12 C13 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:171:y:2018:i:c:p:29-33
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