Evidence on copula-based double-hurdle models with flexible margins
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In: Empirical Economics, Vol. 51, No. 1, 01.08.2016, p. 245-289.
Research output: Journal contributions › Journal articles › Research › peer-review
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RIS
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 -