Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - 2013
This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between in-sample and out-of-sample pseudolikelihoods, which avoids the use of any probability integral transformations. Under the...