Three-stage estimation method for non-linear multiple time-series

Dominique Guegan (), Giovanni de Luca () and Giorgia Rivieccio ()
Additional contact information
Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Giovanni de Luca: Parthenope University - PARTHENOPE - Università degli Studi di Napoli “Parthenope” = University of Naples
Giorgia Rivieccio: Parthenope University - PARTHENOPE - Università degli Studi di Napoli “Parthenope” = University of Naples

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: We present the three-stage pseudo maximum likelihood estimation in order to reduce the computational burdens when a copula-based model is applied to multiple time-series in high dimensions. The method is applied to general stationary Markov time series, under some assumptions which include a time-invariant copula as well as marginal distributions, extending the results of Yi and Liao [2010]. We explore, via simulated and real data, the performance of the model compared to the classical vectorial autoregressive model, giving the implications of misspecified assumptions for margins and/or joint distribution and providing tail dependence measures of economic variables involved in the analysis.

Keywords: Copula function; Three stage estimator; Multiple time series (search for similar items in EconPapers)
Date: 2017-01
New Economics Papers: this item is included in nep-ets
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01439860
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in 2017

Downloads: (external link)
https://shs.hal.science/halshs-01439860/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-01439860

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().