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Semiparametric score test for varying copula parameter in Markov time series |
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| Authors: | Fentaw Abegaz U. V. Naik-Nimbalkar |
| Affiliation: | 1. Department of Statistics and Center for Advanced Studies , University of Pune , Pune, 411 007, India;2. Department of Statistics , Addis Ababa University , Addis Ababa, Ethiopia fentaw@stats.unipune.ernet.in;4. Department of Statistics and Center for Advanced Studies , University of Pune , Pune, 411 007, India |
| Abstract: | This article examines a semiparametric test for checking the constancy of serial dependence via copula models for Markov time series. A semiparametric score test is proposed for testing the constancy of the copula parameter against stochastically varying copula parameter. The asymptotic null distribution of the test is established. A semiparametric bootstrap procedure is employed for the estimation of the variance of the proposed score test. Illustrations are given based on simulated series and historic interest rate data. |
| Keywords: | score test copula varying parameter modelling semiparametric bootstrap |