It has been shown that, despite being consistent and in some cases efficient, maximum pseudo-likelihood (MPL) estimation for copula models overestimates the level of dependence, especially for small samples with a low level of dependence. This is especially relevant in finance and insurance...

A caliper mechanism is a common tool used to prevent from inexact matches. The existing literature discusses asymptotic properties of matching with caliper. In this simulation study we investigate properties in small and medium sized samples. We show that caliper causes a significant bias of the...