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Likelihood-based estimation in a panel setting : Robustness, redundancy and validity of copulas. / Prokhorov, Artem; Schmidt, Peter.

в: Journal of Econometrics, Том 153, № 1, 01.11.2009, стр. 93-104.

Результаты исследований: Научные публикации в периодических изданиях › статья › Рецензирование

Harvard

Prokhorov, A & Schmidt, P 2009, 'Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas', Journal of Econometrics, Том. 153, № 1, стр. 93-104. https://doi.org/10.1016/j.jeconom.2009.06.002

APA

Prokhorov, A., & Schmidt, P. (2009). Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas. Journal of Econometrics, 153(1), 93-104. https://doi.org/10.1016/j.jeconom.2009.06.002

Vancouver

Prokhorov A, Schmidt P. Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas. Journal of Econometrics. 2009 Нояб. 1;153(1):93-104. https://doi.org/10.1016/j.jeconom.2009.06.002

Author

Prokhorov, Artem ; Schmidt, Peter. / Likelihood-based estimation in a panel setting : Robustness, redundancy and validity of copulas. в: Journal of Econometrics. 2009 ; Том 153, № 1. стр. 93-104.

BibTeX

@article{b5fac963269941fca2ffd46fe8b1ddf7,
title = "Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas",
abstract = "This paper considers the estimation of likelihood-based models in a panel setting. That is, we have panel data, and for each time period separately we have a correctly specified model that could be estimated by MLE. We want to allow non-independence over time. This paper shows how to improve on the QMLE. It then considers MLE based on joint distributions constructed using copulas. It discusses the efficiency gain from using the true copula, and shows that knowledge of the true copula is redundant only if the variance matrix of the relevant set of moment conditions is singular. It also discusses the question of robustness against misspecification of the copula, and proposes a test of the validity of the copula. GMM methods are argued to be useful analytically, and also for reasons of efficiency if the copula is robust but not correct.",
keywords = "Copula, GMM, MLE, Panel data, QMLE",
author = "Artem Prokhorov and Peter Schmidt",
year = "2009",
month = nov,
day = "1",
doi = "10.1016/j.jeconom.2009.06.002",
language = "English",
volume = "153",
pages = "93--104",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier",
number = "1",

}

RIS

TY - JOUR

T1 - Likelihood-based estimation in a panel setting

T2 - Robustness, redundancy and validity of copulas

AU - Prokhorov, Artem

AU - Schmidt, Peter

PY - 2009/11/1

Y1 - 2009/11/1

N2 - This paper considers the estimation of likelihood-based models in a panel setting. That is, we have panel data, and for each time period separately we have a correctly specified model that could be estimated by MLE. We want to allow non-independence over time. This paper shows how to improve on the QMLE. It then considers MLE based on joint distributions constructed using copulas. It discusses the efficiency gain from using the true copula, and shows that knowledge of the true copula is redundant only if the variance matrix of the relevant set of moment conditions is singular. It also discusses the question of robustness against misspecification of the copula, and proposes a test of the validity of the copula. GMM methods are argued to be useful analytically, and also for reasons of efficiency if the copula is robust but not correct.

AB - This paper considers the estimation of likelihood-based models in a panel setting. That is, we have panel data, and for each time period separately we have a correctly specified model that could be estimated by MLE. We want to allow non-independence over time. This paper shows how to improve on the QMLE. It then considers MLE based on joint distributions constructed using copulas. It discusses the efficiency gain from using the true copula, and shows that knowledge of the true copula is redundant only if the variance matrix of the relevant set of moment conditions is singular. It also discusses the question of robustness against misspecification of the copula, and proposes a test of the validity of the copula. GMM methods are argued to be useful analytically, and also for reasons of efficiency if the copula is robust but not correct.

KW - Copula

KW - GMM

KW - MLE

KW - Panel data

KW - QMLE

UR - http://www.scopus.com/inward/record.url?scp=70349100024&partnerID=8YFLogxK

U2 - 10.1016/j.jeconom.2009.06.002

DO - 10.1016/j.jeconom.2009.06.002

M3 - Article

AN - SCOPUS:70349100024

VL - 153

SP - 93

EP - 104

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -

ID: 36346296