Copula Modeling: An Introduction for Practitioners (Foundations and Trends (R) in Econometrics) (Foundations and Trends® in Econometrics) - Softcover

Trivedi, Pravin K.; Zimmer, David M.

Softcover

ISBN 10: 1601980205 ISBN 13: 9781601980205

Publisher: now publishers Inc, 2007

Synopsis

Copula Modeling explores the copula approach for econometrics modeling of joint parametric distributions. Copula Modeling demonstrates that practical implementation and estimation is relatively straightforward despite the complexity of its theoretical foundations. An attractive feature of parametrically specific copulas is that estimation and inference are based on standard maximum likelihood procedures. Thus, copulas can be estimated using desktop econometric software. This offers a substantial advantage of copulas over recently proposed simulation-based approaches to joint modeling. Copulas are useful in a variety of modeling situations including financial markets, actuarial science, and microeconometrics modeling. Copula Modeling provides practitioners and scholars with a useful guide to copula modeling with a focus on estimation and misspecification. The authors cover important theoretical foundations. Throughout, the authors use Monte Carlo experiments and simulations to demonstrate copula properties

About this title

About the Author

Pravin K. Trivedi is Distinguished Professor and J. H. Rudy Professor of Economics at Indiana University, Bloomington. His research and teaching interests are in microeconometrics and health economics. He served as co-editor of the Econometrics Journal from 2000 to 2007 and has been on the board of Journal of Applied Econometrics since 1988. He is coauthor (with A. Colin Cameron) of the first edition of Regression Analysis of Count Data (Cambridge, 1998) and of Microeconometrics: Methods and Applications (Cambridge, 2005).

Edition details

• Publisher: now publishers Inc
• Publication date: 2007
• Language: English
• ISBN 10: 1601980205
• ISBN 13: 9781601980205
• Binding: Paperback
• Number of pages: 128