Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7348435 | Economics Letters | 2018 | 5 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Bowen Hao, Artem Prokhorov, Hailong Qian,