Advanced Search
MyIDEAS: Login

A Model Selection Test For Bivariate Failure-Time Data


Author Info

  • Chen, Xiaohong
  • Fan, Yanqin
Registered author(s):


    In this paper, we address two important issues in semiparametric survival model selection for censored data generated by the Archimedean copula family: method of estimating the parametric copulas and data reuse. We demonstrate that for selection among candidate copula models that might all be misspecified, estimators of the parametric copulas based on minimizing the selection criterion function may be preferred to other estimators. To handle the issue of data reuse, we put model selection in the context of hypothesis testing and propose a simple test for model selection from a finite number of parametric copulas. Results from a simulation study and two empirical illustrations confirm our theoretical findings.We thank the editor Peter Phillips, three anonymous referees, and Hal White for their comments, which greatly improved the paper. An earlier version of this paper was presented at the 2005 World Congress Meetings of the Econometric Society, the 2005 Joint Statistical Meetings, the University of Waterloo, and the University of Western Ontario. Chen acknowledges support from the National Science Foundation and the C.V. Starr Center at NYU. Fan acknowledges support from the National Science Foundation. We thank Demian Pouzo for excellent research assistance on the numerical work in this paper and Weijing Wang for providing us with the Fortran code for computing the bivariate Kaplan Meier estimator of Dabrowska (1988).

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    File Function: link to article abstract page
    Download Restriction: no

    Bibliographic Info

    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 23 (2007)
    Issue (Month): 03 (June)
    Pages: 414-439

    as in new window
    Handle: RePEc:cup:etheor:v:23:y:2007:i:03:p:414-439_07

    Contact details of provider:
    Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
    Fax: +44 (0)1223 325150
    Web page:

    Related research



    No references listed on IDEAS
    You can help add them by filling out this form.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Braekers, Roel & Van Keilegom, Ingrid, 2009. "Flexible modeling based on copulas in nonparametric median regression," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1270-1281, July.
    2. Xiaohong Chen & Yanqin Fan & Demian Pouzo & Zhiliang Ying, 2008. "Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship," Cowles Foundation Discussion Papers 1683, Cowles Foundation for Research in Economics, Yale University.
    3. Chen, Xiaohong & Fan, Yanqin & Pouzo, Demian & Ying, Zhiliang, 2010. "Estimation and model selection of semiparametric multivariate survival functions under general censorship," Journal of Econometrics, Elsevier, vol. 157(1), pages 129-142, July.


    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:23:y:2007:i:03:p:414-439_07. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.