Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/107872
Authors: 
Azam, Kazim
Lucas, Andre
Year of Publication: 
2015
Series/Report no.: 
Tinbergen Institute Discussion Paper 15-003/IV/DSF84
Abstract: 
We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a simulation that our methodology performs similar to the method of Hoff (2007) for mixed data, but is considerably simpler to estimate. We extend to a time series setting, where the parameters are allowed to vary over time. In an empirical application using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and discrete household characteristics varies across groups who were affected differently by the recent economic crisis.
Subjects: 
copula
discrete data
time series
JEL: 
C32
C35
Document Type: 
Working Paper

Files in This Item:
File
Size
563.85 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.