Manner, Hans, Stark, Florian and Wied, Dominik (2019). Testing for structural breaks in factor copula models. J. Econom., 208 (2). S. 324 - 346. LAUSANNE: ELSEVIER SCIENCE SA. ISSN 1872-6895
Full text not available from this repository.Abstract
We propose new fluctuation tests for detecting structural breaks in factor copula models and analyse the behaviour under the null hypothesis of no change. In the model, the joint copula is given by the copula of random variables which arise from a factor model. This is particularly useful for analysing data with high dimensions. Parameters are estimated with the simulated method of moments (SMM). The discontinuity of the SMM objective function complicates the derivation of a functional limit theorem for the parameters. We analyse the behaviour of the tests in Monte Carlo simulations and a real data application. It turns out that our test is more powerful than nonparametric tests for copula constancy in high dimensions. (C) 2018 Elsevier B.V. All rights reserved.
Item Type: | Journal Article | ||||||||||||||||
Creators: |
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URN: | urn:nbn:de:hbz:38-157606 | ||||||||||||||||
DOI: | 10.1016/j.jeconom.2018.10.001 | ||||||||||||||||
Journal or Publication Title: | J. Econom. | ||||||||||||||||
Volume: | 208 | ||||||||||||||||
Number: | 2 | ||||||||||||||||
Page Range: | S. 324 - 346 | ||||||||||||||||
Date: | 2019 | ||||||||||||||||
Publisher: | ELSEVIER SCIENCE SA | ||||||||||||||||
Place of Publication: | LAUSANNE | ||||||||||||||||
ISSN: | 1872-6895 | ||||||||||||||||
Language: | English | ||||||||||||||||
Faculty: | Unspecified | ||||||||||||||||
Divisions: | Unspecified | ||||||||||||||||
Subjects: | no entry | ||||||||||||||||
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Refereed: | Yes | ||||||||||||||||
URI: | http://kups.ub.uni-koeln.de/id/eprint/15760 |
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