Goodness of Fit Tests for Copulas
AbstractThis paper defines two distribution free goodness-of-fit test statistics for copulas and statestheir asymptotic distributions under some composite parametric assumptions. The results arestated formally in an independent identically distributed framework, and partially in timedependentframeworks. We provide a simulation study and an empirical example by studyingthe dependency between several couples of equity indices.
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Bibliographic InfoPaper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2003-34.
Date of creation: 2003
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- Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 125-154.
- Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
- Casey Quinn, 2005. "Generalisable regression methods for costeffectiveness using copulas," Health, Econometrics and Data Group (HEDG) Working Papers 05/13, HEDG, c/o Department of Economics, University of York.
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