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From: Deyan Radev on 11 Jan 2010 22:06
Hello All,

I am trying to replicate a paper on copulas, and I have difficulties seting up the optimization problem. The marginals are modelled with SWARCH(2,1) model, and I need to fit a switching parameters copula. Since the marginal and copula parameters switch at the same time, I cannot use the two-step estimation procedure which I have used so far. Can anyone explain me how the one step method should work in practice?

Thank you in advance!

Best,
Deyan
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