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.

Original languageEnglish
Pages (from-to)29-33
Number of pages5
JournalEconomics Letters
Volume171
DOIs
StatePublished - 1 Oct 2018
Externally publishedYes

    Research areas

  • Copulas, GMM, Moment redundancy, GMM ESTIMATION, PANEL-DATA MODELS, INSTRUMENTS

    Scopus subject areas

  • Economics and Econometrics
  • Finance

ID: 36345197