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Empirical Economics

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01-08-2016

Evidence on copula-based double-hurdle models with flexible margins

Author: Jörg Schwiebert

Published in: Empirical Economics | Issue 1/2016

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Abstract

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.

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The term “margins” is used as a shortcut for “marginal distributions”.

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Title: Evidence on copula-based double-hurdle models with flexible margins
Author: Jörg Schwiebert
Publication date: 01-08-2016
Publisher: Springer Berlin Heidelberg
Published in: Empirical Economics / Issue 1/2016
Print ISSN: 0377-7332
Electronic ISSN: 1435-8921
DOI: https://doi.org/10.1007/s00181-015-0994-z

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