Moment Redundancy Test with Application to Efficiency-Improving Copulas

Bowen Hao, Artem Prokhorov and Hailong Qian

No BAWP-2019-05, Working Papers from University of Sydney Business School, Discipline of Business Analytics

Abstract: 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)
Date: 2019-03-25
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http://hdl.handle.net/2123/20204

Related works:
Journal Article: Moment redundancy test with application to efficiency-improving copulas (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:syb:wpbsba:2123/20204

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