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Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas
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Prokhorov and Schmidt (2009) consider GMM and copulas in a longitudinal setting although not with discrete outcomes.
“For example, Prokhorov and Schmidt (2009) consider GMM and copulas in a longitudinal setting although not with discrete outcomes.”
From Dependence modeling of multivariate longitudinal hybrid insurance data with dropout (2021) · cites this paper as Prokhorov and Schmidt (2009)
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References 29 · Cited by 49
Research works printed but not linked: 22
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Metadata
- Authors
- Prokhorov, A., & Schmidt, P.
- Affiliations
- Concordia University (CA)
- Michigan State University (US)
- Corresponding author
- Schmidt, Peter
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 2009-11
- Volume
- 153
- Issue
- 1
- Pages
- 93-104
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2074414327
- Cited by
- 49
- References
- 29
- Citations by year
- 2025: 3 · 2024: 4 · 2023: 4 · 2022: 3 · 2021: 3 · 2020: 1 · 2019: 3 · 2018: 5 · 2016: 8 · 2014: 3 · 2013: 4 · 2012: 2
- FWCI
- 5.99
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- Journal of Econometrics (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Spatial and Panel Data Analysis
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Inference
- Keywords
- panel data, copulas, maximum likelihood estimation, joint probability distribution, efficiency improvement, robustness, moment conditions, GMM
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