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Moment Redundancy Test with Application to Efficiency-Improving Copulas

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  • Hao, Bowen
  • Prokhorov, Artem
  • Qian, Hailong

Abstract

Moment redundancy as defined by Breusch et al. (1999) is a testable hypothesis. We propose a simple test of the hypothesis in the context of copula-based pseudo-maximum likelihood estimation considered by Prokhorov and Schmidt (2009b). A robust and efficiency-improving parametric copula permits sizable improvement in precision at no cost in terms of bias and the proposed test can be used to select such copulas.

Suggested Citation

  • Hao, Bowen & Prokhorov, Artem & Qian, Hailong, 2019. "Moment Redundancy Test with Application to Efficiency-Improving Copulas," Working Papers BAWP-2019-05, University of Sydney Business School, Discipline of Business Analytics.
    • Handle: RePEc:syb:wpbsba:2123/20204
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    References listed on IDEAS

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    More about this item

    Keywords

    GMM; moment redundancy; copulas;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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