TY - JOUR

T1 - Evidence on copula-based double-hurdle models with flexible margins

AU - Schwiebert, Jörg

PY - 2016/8/1

Y1 - 2016/8/1

N2 - I consider copula-based double-hurdle models with flexible marginal distributions. While the copula must be specified in advance, the marginal distributions are assumed to belong to a quite general class of distributions and need not be specified by the researcher in advance. A simulation study indicates that the copula-based double-hurdle models with flexible margins perform well even when the selected copula has been misspecified. An empirical application shows that copula-based double-hurdle models with flexible margins may outperform the conventionally used classical double-hurdle model based on a bivariate normality assumption.

AB - I consider copula-based double-hurdle models with flexible marginal distributions. While the copula must be specified in advance, the marginal distributions are assumed to belong to a quite general class of distributions and need not be specified by the researcher in advance. A simulation study indicates that the copula-based double-hurdle models with flexible margins perform well even when the selected copula has been misspecified. An empirical application shows that copula-based double-hurdle models with flexible margins may outperform the conventionally used classical double-hurdle model based on a bivariate normality assumption.

KW - Economics

KW - Archimedean copulas

KW - Copulas

KW - Double-hurdle model

KW - Flexible margins

UR - http://www.scopus.com/inward/record.url?scp=84938632139&partnerID=8YFLogxK

U2 - 10.1007/s00181-015-0994-z

DO - 10.1007/s00181-015-0994-z

M3 - Journal articles

VL - 51

SP - 245

EP - 289

JO - Empirical Economics

JF - Empirical Economics

SN - 0377-7332

IS - 1

ER -