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# Estimation of Copula-Based Semiparametric Time Series Models

## Author

Listed:
• Yanqin Fan
• Xiaohong Chen

## Abstract

This paper studies the estimation of a class of copula-based semiparametric stationary Markov models. These models are characterized by nonparametric invariant (or marginal) distributions and parametric copula functions that capture the temporal dependence of the processes; the implied transition distributions are all semiparametric. Models in this class are easy to simulate, and can be expressed as semiparametric regression transformation models. One advantage of this copula approach is to separate out the temporal dependence(such as tail dependence) from the marginal behavior (such as fat tailedness) of a time series. We present conditions under which processes generated by models in this class are $\beta$-mixing; naturally, these conditions depend only on the copula specification. Simple estimators of the marginal distribution and the copula parameter are provided, and their asymptotic properties are established under easily verifiable conditions. Estimators of important features of the transition distribution such as the (nonlinear) conditional moments and conditional quantiles are easily obtained from estimators of the marginal distribution and the copula parameter; their $\sqrt{n}-$ consistency and asymptotic normality can be obtained using the Delta method. In addition, the semiparametric conditional quantile estimators are automatically monotonic across quantiles.

## Suggested Citation

• Yanqin Fan & Xiaohong Chen, 2004. "Estimation of Copula-Based Semiparametric Time Series Models," Econometric Society 2004 Far Eastern Meetings 559, Econometric Society.
• Handle: RePEc:ecm:feam04:559
as

File URL: http://repec.org/esFEAM04/up.24685.1079973520.pdf
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## References listed on IDEAS

as
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Full references (including those not matched with items on IDEAS)

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### Keywords

Copula; Nonlinear Markov models; Semiparametric estimation; Conditional quantile;
All these keywords.

### JEL classification:

• C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
• C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

### NEP fields

This paper has been announced in the following NEP Reports:

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