Moment Recentering and (Improved) Moment Selection

2016 ◽  
Author(s):  
Roy Allen
Keyword(s):  
Moment Selection

Moment Selection

2006 ◽  
Vol 96 (1) ◽  
pp. 125
Author(s):  
Meaghan M. Devlin
Keyword(s):  
Moment Selection

Information in generalized method of moments estimation and entropy-based moment selection

2007 ◽  
Vol 138 (2) ◽  
pp. 488-512 ◽  
Author(s):  
Alastair R. Hall ◽  
Atsushi Inoue ◽  
Kalidas Jana ◽  
Changmock Shin
Keyword(s):  
Method Of Moments ◽  
Generalized Method Of Moments ◽  
Moment Selection ◽  
Method Of Moments Estimation

scholarly journals Entropy-Based Moment Selection in the Presence of Weak Identification

2008 ◽  
Vol 27 (4-6) ◽  
pp. 398-427 ◽  
Author(s):  
Alastair R. Hall ◽  
Atsushi Inoue ◽  
Changmock Shin
Keyword(s):  
Weak Identification ◽  
Moment Selection

Model and Moment Selection in Factor Copula Models*

2019 ◽  
Author(s):  
Fang Duan ◽  
Hans Manner ◽  
Dominik Wied
Keyword(s):  
Model Selection ◽  
Value At Risk ◽  
Selection Procedure ◽  
Copula Models ◽  
New Approach ◽  
Moment Selection ◽  
Finite Samples ◽  
Generalized Methods Of Moments ◽  
Methods Of Moments ◽  
The Impact

Abstract This article develops a simultaneous model and moment selection procedure for factor copula models. Since the density of the factor copula is generally not known in closed form, widely used likelihood or moment-based model selection criteria cannot be directly applied on factor copulas. The new approach is inspired by the methods for generalized methods of moments proposed by Andrews (1999) and Andrews and Lu (2001). The consistency of the procedure is proved and Monte Carlo simulations show its good performance in finite samples in different scenarios of sample sizes and dimensions. The impact of the choice of moments in selected regions of the support on model selection and value-at-risk prediction is further examined by simulation and an application to a portfolio consisting of ten stocks in the Deutscher Aktienindex (DAX30) index.

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