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Moment redundancy test with application to efficiency-improving copulas

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  • Hao, Bowen
  • Prokhorov, Artem
  • Qian, Hailong

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.

Suggested Citation

  • Hao, Bowen & Prokhorov, Artem & Qian, Hailong, 2018. "Moment redundancy test with application to efficiency-improving copulas," Economics Letters, Elsevier, vol. 171(C), pages 29-33.
    • Handle: RePEc:eee:ecolet:v:171:y:2018:i:c:p:29-33
    DOI: 10.1016/j.econlet.2018.07.009
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    References listed on IDEAS

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    More about this item

    Keywords

    GMM; Moment redundancy; Copulas;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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