Moment redundancy test with application to efficiency-improving copulas
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DOI: 10.1016/j.econlet.2018.07.009
Abstract: 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).… read more here.
Keywords: efficiency improving; moment redundancy; test;