POLYCOPULA: Stata module to compute Copula-based association for ordinal variables: Gaussian (polychoric), Frank, Clayton and Gumbel

Yusuf Toyin Yusuf ()
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Yusuf Toyin Yusuf: Kwara State University

Statistical Software Components from Boston College Department of Economics

Abstract: The polychoric correlation is the parameter of a Gaussian copula linking the latent variables behind two ordinal variables. When polytest or the polycorr fit tests reject latent normality, the polychoric correlation can misstate the strength of association. polycopula fits, for every pair, the same two-step model with the Gaussian copula replaced by: o Frank: symmetric, no tail dependence; o Clayton: lower-tail dependence; o Gumbel: upper-tail dependence.

Language: Stata
Requires: Stata version 14
Keywords: Copula-based association; ordinal variables (search for similar items in EconPapers)
Date: 2026-10-30
Note: This module should be installed from within Stata by typing "ssc install polycopula". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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http://fmwww.bc.edu/repec/bocode/p/polycopula.ado
http://fmwww.bc.edu/repec/bocode/p/polycopula.sthlp
http://fmwww.bc.edu/repec/bocode/p/polycopula_examples.do
http://fmwww.bc.edu/repec/bocode/p/polycopula_cert.do

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