Efficient estimation of parameters in marginals in semiparametric multivariate models
Recent literature on semiparametric copula models focused on the situation when the marginals are specified nonparametrically and the copula function is given a parametric form. For example, this setup is used in Chen, Fan and Tsyrennikov (2006) [Efficient Estimation of Semiparametric Multivariate Copula Models, JASA] who focus on efficient estimation of copula parameters. We consider a reverse situation when the marginals are specified parametrically and the copula function is modelled nonparametrically. This setting is no less relevant in applications. We use the method of sieve for efficient estimation of parameters in marginals, derive its asymptotic distribution and show that the estimator is semiparametrically efficient. Simulations suggest that the sieve MLE can be up to 40% more efficient relative to QMLE depending on the strength of dependence between the marginals. An application using insurance company loss and expense data demonstrates empirical relevance of this setting.
|Date of creation:||Jan 2011|
|Contact details of provider:|| Postal: 1455, de Maisonneuve Blvd, Montréal, Québec, H3G 1M8|
Phone: (514) 848-3900
Fax: (514) 848-4536
Web page: http://www.concordia.ca/artsci/economics.html
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.:
- Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
When requesting a correction, please mention this item's handle: RePEc:crd:wpaper:11001. 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.