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 language | English |
|---|---|
| Pages (from-to) | 29-33 |
| Number of pages | 5 |
| Journal | Economics Letters |
| Volume | 171 |
| DOIs | |
| State | Published - 1 Oct 2018 |
| Externally published | Yes |
ID: 36345197