Counterfactual copula

Tsung-Chih Lai and Jiun-Hua Su

Economics Letters, 2024, vol. 241, issue C

Abstract: This paper proposes a nonparametric estimator of the counterfactual copula of two outcome variables that would be affected by a policy intervention. The proposed estimator allows policymakers to conduct ex ante evaluations by comparing the estimated counterfactual and actual copulas as well as their corresponding association measures. Asymptotic properties of the counterfactual copula estimator are established under regularity conditions. These conditions are also used to validate the nonparametric bootstrap for inference on counterfactual quantities. Simulation results indicate that our estimation and inference procedures perform well in moderately sized samples.

Keywords: Copula; Counterfactual policy effect (search for similar items in EconPapers)
JEL-codes: C14 C31 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524003136

DOI: 10.1016/j.econlet.2024.111829

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