Likelihood Based Estimation in a Panel Setting: Robustness, Redundancy and Validity of Copulas
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.
(This abstract was borrowed from another version of this item.)
|Date of creation:||12 Jan 2009|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (514) 848-3900
Fax: (514) 848-4536
Web page: http://economics.concordia.ca
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Tauchen, George, 1985. "Diagnostic testing and evaluation of maximum likelihood models," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 415-443.
- Newey, Whitney K & West, Kenneth D, 1987. "Hypothesis Testing with Efficient Method of Moments Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 777-87, October.
- Lee, Lung-Fei, 1983. "Generalized Econometric Models with Selectivity," Econometrica, Econometric Society, vol. 51(2), pages 507-12, March.
- A. Colin Cameron & Tong Li & Pravin K. Trivedi & David M. Zimmer, 2004.
"Modeling the Differences in Counted Outcomes using Bivariate Copula Models: with Application to Mismeasured Counts,"
43, University of California, Davis, Department of Economics.
- A. Colin Cameron & Tong Li & Pravin K. Trivedi & David M. Zimmer, 2004. "Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 566-584, December.
- Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
- Andrew Patton, 2004.
"Modelling Asymmetric Exchange Rate Dependence,"
wp04-04, Warwick Business School, Finance Group.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Chen, Xiaohong & Fan, Yanqin & Tsyrennikov, Viktor, 2006.
"Efficient Estimation of Semiparametric Multivariate Copula Models,"
Journal of the American Statistical Association,
American Statistical Association, vol. 101, pages 1228-1240, September.
- Xiaohong Chen & Yanqin Fan & Victor Tsyrennifov, 2004. "Efficient Estimation of Semiparametric Multivariate Copula Models," Vanderbilt University Department of Economics Working Papers 0420, Vanderbilt University Department of Economics.
- W. Breymann & A. Dias & P. Embrechts, 2003. "Dependence structures for multivariate high-frequency data in finance," Quantitative Finance, Taylor & Francis Journals, vol. 3(1), pages 1-14.
- Jeffrey M. Wooldridge, 1987.
"Specification Testing and Quasi-Maximum Likelihood Estimation,"
479, Massachusetts Institute of Technology (MIT), Department of Economics.
- Wooldridge, Jeffrey M., 1991. "Specification testing and quasi-maximum- likelihood estimation," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 29-55.
- Breusch, Trevor & Qian, Hailong & Schmidt, Peter & Wyhowski, Donald, 1999. "Redundancy of moment conditions," Journal of Econometrics, Elsevier, vol. 91(1), pages 89-111, July.
- Trivedi, Pravin K. & Zimmer, David M., 2007. "Copula Modeling: An Introduction for Practitioners," Foundations and Trends(R) in Econometrics, now publishers, vol. 1(1), pages 1-111, April.
- Zimmer, David M. & Trivedi, Pravin K., 2006. "Using Trivariate Copulas to Model Sample Selection and Treatment Effects: Application to Family Health Care Demand," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 63-76, January.
- Murray D. Smith, 2003. "Modelling sample selection using Archimedean copulas," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 99-123, 06.
- Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.
When requesting a correction, please mention this item's handle: RePEc:crd:wpaper:09002. 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: (Economics Department)
If references are entirely missing, you can add them using this form.