Copulas in Econometrics
Posted: 8 Aug 2014
Date Written: August 2014
Abstract
Copulas are functions that describe the dependence between two or more random variables. This article provides a brief review of copula theory and two areas of economics in which copulas have played important roles: multivariate modeling and partial identification of parameters that depend on the joint distribution of two random variables with fixed or known marginal distributions. We focus on bivariate copulas but provide references on recent advances in constructing higher-dimensional copulas.
Suggested Citation: Suggested Citation
Fan, Yanqin and Patton, Andrew J., Copulas in Econometrics (August 2014). Annual Review of Economics, Vol. 6, pp. 179-200, 2014, Available at SSRN: https://ssrn.com/abstract=2477770 or http://dx.doi.org/10.1146/annurev-economics-080213-041221
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.