Copula-Based Tests for Cross-Sectional Independence in Panel Models
نویسندگان
چکیده
منابع مشابه
Estimation and tests of independence in copula models via divergences
We introduce new estimates and tests of independence in copula models with unknown margins using φ-divergences and the duality technique. The asymptotic laws of the estimates and the test statistics are established both when the parameter is an interior point or not.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1809097