主 题：Smooth Tests of Copula Specifications
主讲人：Juan Lin
主持人：经济学院 黄千祐副教授
时 间：2013年 11月13日 14:30
地 点：通博楼B223会议室
主办单位：经济学院 科研处
主讲人简介：
EMPLOYMENT
Postdoctoral Research Fellow, Risk Management Institute, National University of Singapore,
2011.7 - present.
Lecturer, Department of Finance, School of Management, Fuzhou University, 2005.9 - 2007.6.
PUBLICATIONS
Li, Q., J. Lin and J.S. Racine, 2013. \Optimal Bandwidth Selection for Nonparametric Con-
ditional Distribution and Quantile Functions,"Journal of Business & Economic Statistics 31,
57-65.
Gu, J., J. Lin and D. Liu, 2011. \Estimating the Average Treatment Effect Based on Direct Estimation of the Conditional Treatment Effect,"Advances in Econometrics 27, 289-311.
PAPER UNDER REVISION
Lin J. and X.Wu, Smooth Tests of Copula Specications, 2012. Revision requested from Journal
of Business & Economic Statistics.
EDUCATION
Ph.D., Economics, Beijing Normal University, 2011.
Joint Ph.D. Program, Department of Economics, Texas A&M University, 2009.7 - 2010.12.
M.S., Economics, Beijing Normal University, 2005.
B.A., Economics, Beijing Normal University, 2002.
内容提要：
We present a family of smooth tests for the goodness of fit of semiparametric multivariate copula models. The proposed tests are distribution free and can be easily implemented. They are diagnostic and constructive in the sense that when a null distribution is rejected the test provides useful pointers to alternative copula distributions. We then propose a method of copula density construction, which can be viewed as a multivariate extension of Efron and Tibshirani (1996). We further generalize our methods to dynamic copula models of Chen and Fan (2006). We report extensive Monte Carlo simulations and three empirical examples to illustrate the effectiveness and usefulness of our method.
