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Improving precision in cost-effectiveness analysis using copulas

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  • Casey Quinn

Abstract

A copula is best described, as in Joe (1997), as a multivariate distribution function that is used to bind each marginal distribution function to form the joint. The copula parameterises the dependence between the margins, while the parameters of each marginal distribution function can be estimated separately. This is a brief introduction to copulas and multivariate dependence issues within a health economics context. The research presented here will make its own contributions to the development of copulas as a methodology, but more importantly will make deliberate inroads into health economic applications of copulas. To do this, common analytic problems faced by health economists are considered. Some of the differences between the copula methodology and existing alternatives are discussed, and a generalisable, systematic approach to estimation is provided.

Suggested Citation

  • Casey Quinn, 2007. "Improving precision in cost-effectiveness analysis using copulas," Health, Econometrics and Data Group (HEDG) Working Papers 07/23, HEDG, c/o Department of Economics, University of York.
  • Handle: RePEc:yor:hectdg:07/23
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    Cited by:

    1. Jeremy Michael D'Antoni & Ashok Kumar Mishra, 2012. "Testing dependence using copulas: the case of dual employment," Applied Economics Letters, Taylor & Francis Journals, vol. 19(13), pages 1265-1269, September.
    2. Koirala, Krishna H. & Mishra, Ashok K. & D'Antoni, Jeremy M. & Mehlhorn, Joey E., 2015. "Energy prices and agricultural commodity prices: Testing correlation using copulas method," Energy, Elsevier, vol. 81(C), pages 430-436.

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    Keywords

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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • I3 - Health, Education, and Welfare - - Welfare, Well-Being, and Poverty
    • I10 - Health, Education, and Welfare - - Health - - - General

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