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Efficient semiparametric copula estimation of regression models with endogeneity

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Efficient semiparametric copula estimation of regression models with endogeneity. / Tran, Kien C.; Tsionas, Mike G.
In: Econometric Reviews, Vol. 41, No. 5, 28.05.2022, p. 485-504.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

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Tran KC, Tsionas MG. Efficient semiparametric copula estimation of regression models with endogeneity. Econometric Reviews. 2022 May 28;41(5):485-504. Epub 2021 Aug 14. doi: 10.1080/07474938.2021.1957284

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Tran, Kien C. ; Tsionas, Mike G. / Efficient semiparametric copula estimation of regression models with endogeneity. In: Econometric Reviews. 2022 ; Vol. 41, No. 5. pp. 485-504.

Bibtex

@article{183d857b66be407ab0e8e470bca00cf0,
title = "Efficient semiparametric copula estimation of regression models with endogeneity",
abstract = "An efficient sieve maximum likelihood estimation procedure for regression models with endogenous regressors using a copula-based approach is proposed. Specifically, the joint distribution of the endogenous regressor and the error term is characterized by a parametric copula function evaluated at the nonparametric marginal distributions. The asymptotic properties of the proposed estimator are derived, including semiparametrically efficient property. Monte Carlo simulations reveal that the proposed method performs well in finite samples comparing to other existing methods. An empirical application is presented to demonstrate the usefulness of the proposed approach.",
keywords = "Economics and Econometrics",
author = "Tran, {Kien C.} and Tsionas, {Mike G.}",
year = "2022",
month = may,
day = "28",
doi = "10.1080/07474938.2021.1957284",
language = "English",
volume = "41",
pages = "485--504",
journal = "Econometric Reviews",
issn = "0747-4938",
publisher = "Taylor and Francis Ltd.",
number = "5",

}

RIS

TY - JOUR

T1 - Efficient semiparametric copula estimation of regression models with endogeneity

AU - Tran, Kien C.

AU - Tsionas, Mike G.

PY - 2022/5/28

Y1 - 2022/5/28

N2 - An efficient sieve maximum likelihood estimation procedure for regression models with endogenous regressors using a copula-based approach is proposed. Specifically, the joint distribution of the endogenous regressor and the error term is characterized by a parametric copula function evaluated at the nonparametric marginal distributions. The asymptotic properties of the proposed estimator are derived, including semiparametrically efficient property. Monte Carlo simulations reveal that the proposed method performs well in finite samples comparing to other existing methods. An empirical application is presented to demonstrate the usefulness of the proposed approach.

AB - An efficient sieve maximum likelihood estimation procedure for regression models with endogenous regressors using a copula-based approach is proposed. Specifically, the joint distribution of the endogenous regressor and the error term is characterized by a parametric copula function evaluated at the nonparametric marginal distributions. The asymptotic properties of the proposed estimator are derived, including semiparametrically efficient property. Monte Carlo simulations reveal that the proposed method performs well in finite samples comparing to other existing methods. An empirical application is presented to demonstrate the usefulness of the proposed approach.

KW - Economics and Econometrics

U2 - 10.1080/07474938.2021.1957284

DO - 10.1080/07474938.2021.1957284

M3 - Journal article

VL - 41

SP - 485

EP - 504

JO - Econometric Reviews

JF - Econometric Reviews

SN - 0747-4938

IS - 5

ER -