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A Goodness-of-fit Test for Copulas

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Abstract

A new goodness-of-fit test of copulas is proposed. It is based on restrictions on certain elements of the information matrix and so relates to the White (1982) specification test. The test avoids the need to correctly specify and consistently estimate a parametric model for the marginal distributions. It does not involve kernel weighting and bandwidth selection or parametric bootstrap and is relatively simple compared to other available tests.
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  • Wanling Huang & Artem Prokhorov, 2010. "A Goodness-of-fit Test for Copulas," Working Papers 10002, Concordia University, Department of Economics, revised Apr 2010.
    • Handle: RePEc:crd:wpaper:10002
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    File URL: http://alcor.concordia.ca/~aprokhor/papers/start.pdf
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    1. Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
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    Cited by:

    1. Huang, Wanling & Mollick, André Varella & Nguyen, Khoa Huu, 2016. "U.S. stock markets and the role of real interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 231-242.
    2. Kjersti Aas, 2016. "Pair-Copula Constructions for Financial Applications: A Review," Econometrics, MDPI, Open Access Journal, vol. 4(4), pages 1-15, October.
    3. repec:eee:phsmap:v:480:y:2017:i:c:p:10-21 is not listed on IDEAS
    4. Shulin Zhang, & Ostap Okhrin, & Qian M. Zhou & Peter X.-K. Song, 2013. "Goodness-of-fit Test for Specification of Semiparametric Copula Dependence Models," SFB 649 Discussion Papers SFB649DP2013-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. Richard M. Golden & Steven S. Henley & Halbert White & T. Michael Kashner, 2016. "Generalized Information Matrix Tests for Detecting Model Misspecification," Econometrics, MDPI, Open Access Journal, vol. 4(4), pages 1-24, November.
    6. Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K., 2016. "Goodness-of-fit test for specification of semiparametric copula dependence models," Journal of Econometrics, Elsevier, vol. 193(1), pages 215-233.
    7. Okhrin Ostap, 2013. "Editorial to the special issue on Copulae of Statistics & Risk Modeling," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 281-286, December.
    8. repec:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1165-6 is not listed on IDEAS
    9. Nguyen, Cuong & Bhatti, M. Ishaq & Komorníková, Magda & Komorník, Jozef, 2016. "Gold price and stock markets nexus under mixed-copulas," Economic Modelling, Elsevier, vol. 58(C), pages 283-292.
    10. Ding, Wei & Song, Peter X.-K., 2016. "EM algorithm in Gaussian copula with missing data," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 1-11.
    11. Schepsmeier, Ulf, 2015. "Efficient information based goodness-of-fit tests for vine copula models with fixed margins: A comprehensive review," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 34-52.
    12. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.

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    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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