TY - JOUR

T1 - Moment redundancy test with application to efficiency-improving copulas

AU - Hao, Bowen

AU - Prokhorov, Artem

AU - Qian, Hailong

PY - 2018/10/1

Y1 - 2018/10/1

N2 - 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.

AB - 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.

KW - Copulas

KW - GMM

KW - Moment redundancy

KW - GMM ESTIMATION

KW - PANEL-DATA MODELS

KW - INSTRUMENTS

UR - http://www.scopus.com/inward/record.url?scp=85049758839&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2018.07.009

DO - 10.1016/j.econlet.2018.07.009

M3 - Article

AN - SCOPUS:85049758839

VL - 171

SP - 29

EP - 33

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

ER -