Moment redundancy test with application to efficiency-improving copulas

DOI10.1016/J.ECONLET.2018.07.009zbMATH Open1402.62113OpenAlexW2880782084MaRDI QIDQ1787980FDOQ1787980

Authors: Yanyan Li 

Publication date: 8 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2123/20204

Recommendations

• Redundancy of moment conditions
• Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas
• Local power analysis of goodness-of-fit tests for copulas
• A semiparametric estimation of copula models based on the method of moments
• Redundancy of empirical likelihood

zbMATH Keywords

copulasGMMmoment redundancy

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Hypothesis testing in multivariate analysis (62H15)

Cites Work

• Maximum Likelihood Specification Testing and Conditional Moment Tests
• Diagnostic testing and evaluation of maximum likelihood models
• Redundancy of moment conditions
• Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas
• GMM estimation of linear panel data models with time-varying individual effects
• Econometric estimation with high-dimensional moment equalities
• Efficient GMM estimation of weak AR processes.
• A separability result for gmm estimation, with applications to gls prediction and conditional moment tests
• GMM redundancy results for general missing data problems
• A GMM interpretation of the paradox in the inverse probability weighting estimation of the average treatment effect on the treated
• An efficient GMM estimator of spatial autoregressive models
• Efficient GMM and MD estimation of autoregressive models
• Neighbourhood GMM estimation of dynamic panel data models
• Redundancy of lagged regressors revisited
• Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England
• On the relevance of weaker instruments

Cited In (2)

• Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas
• Redundancy of empirical likelihood

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