Universität zu Köln

Kaldorf, Matthias and Wied, Dominik (2022). Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models. Stud. Nonlinear Dyn. Econom., 26 (1). S. 1 - 25. BERLIN: WALTER DE GRUYTER GMBH. ISSN 1558-3708

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Abstract

This paper proposes parametric two-step procedures for assessing the stability of cross-sectional dependency measures in the presence of potential breaks in the marginal distributions. The procedures are based on formerly proposed sup-LR tests in which restricted and unrestricted likelihood functions are compared with each other. First, we show theoretically that standard asymptotics do not hold in this situation. We propose a suitable bootstrap scheme and derive test statistics in different commonly used settings. The properties of the test statistics and precision of the associated change-point estimator are analysed and compared with existing non-parametric methods in various Monte Carlo simulations. These studies reveal advantages in test power for higher-dimensional data and an almost uniform superiority of the sup-LR test in terms of precision of the change-point estimator. We then apply this method to equity returns of European banks during the financial crisis of 2008.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Kaldorf, Matthias UNSPECIFIED UNSPECIFIED UNSPECIFIED Wied, Dominik UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-657615
DOI:	10.1515/snde-2019-0043
Journal or Publication Title:	Stud. Nonlinear Dyn. Econom.
Volume:	26
Number:	1
Page Range:	S. 1 - 25
Date:	2022
Publisher:	WALTER DE GRUYTER GMBH
Place of Publication:	BERLIN
ISSN:	1558-3708
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language NUISANCE PARAMETER; MULTIVARIATE; COPULA Multiple languages Economics; Social Sciences, Mathematical Methods Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/65761