Copula-based Bivariate Cointegration Model. Issue 1 (May 2019)

• Record Type: Journal Article
• Authors: John, Nimitha; Balakrishna, N.
• Is Part Of: Calcutta Statistical Association bulletin. Volume 71:Issue 1(2019:May)
• Page Start: 21
• Page End: 39
• Publication Date: 2019-05
• Subjects: Cointegration -- Copula function -- error correction model -- inference functions for margins -- maximum likelihood estimation; Mathematical statistics -- Periodicals; Statistics -- Methodology -- Periodicals; Statistics -- Periodicals; 519.5
• DOI: 10.1177/0008068319838146
• Languages: English
• ISSNs: 0008-0683

Abstract

This article focuses on a bivariate cointegrating model with non-normal errors. In particular, we propose a bivariate error distribution constructed using two non-identical marginals through a copula. The model parameters are estimated using the method of inference functions for margins and maximum likelihood. Applications of the proposed model are illustrated through real life examples. AMS classification codes: 62M10