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Efficient estimation of parameters in marginals in semiparametric multivariate models

Author

Listed:
  • Valentyn Panchenko

    (University of New South Wales)

  • Artem Prokhorov

    (Concordia University and CIREQ)

Abstract

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.

Suggested Citation

  • Valentyn Panchenko & Artem Prokhorov, 2011. "Efficient estimation of parameters in marginals in semiparametric multivariate models," Working Papers 11001, Concordia University, Department of Economics.
    • Handle: RePEc:crd:wpaper:11001
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    References listed on IDEAS

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    1. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
    2. Severini, Thomas A. & Tripathi, Gautam, 2001. "A simplified approach to computing efficiency bounds in semiparametric models," Journal of Econometrics, Elsevier, vol. 102(1), pages 23-66, May.
    3. Hill, Jonathan B. & Prokhorov, Artem, 2016. "GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference," Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
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    Cited by:

    1. Eddie Anderson & Artem Prokhorov & Yajing Zhu, 2020. "A Simple Estimator of Two‐Dimensional Copulas, with Applications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1375-1412, December.
    2. Yichen Gao & Yu Zhang & Ximing Wu, 2015. "Penalized exponential series estimation of copula densities with an application to intergenerational dependence of body mass index," Empirical Economics, Springer, vol. 48(1), pages 61-81, February.

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