Bayesian Estimation of Archimedean Copula-Based SUR Quantile Models

Table 10

Goodness-of-fit test for the copula-based SUQR model.

	DIC	Gaussian	Student-t	Clayton	Gumbel	Joe	Frank
Weak prior		0.1247	0.0134	0.7849	0.0098	0.0148	0.0049
		0.0525	0.2733	0.1149	0.0148	0.0849	0.5247
		0.0049	0.0049	0.4549	0.0049	0.0443	0.1041
Diffusion prior		0.1244	0.0134	0.7848	0.0095	0.0141	0.0048
		0.0521	0.2731	0.1147	0.0147	0.0844	0.5247
		0.0042	0.0050	0.4549	0.0048	0.0443	0.1040
Informative prior		0.1240	0.0135	0.7845	0.0097	0.0150	0.0050
		0.0521	0.2734	0.1145	0.0147	0.0851	0.5248
		0.0047	0.0054	0.4543	0.0048	0.1445	0.1042

Note: this table presents the values of the goodness-of-fit tests for our copula-based models. Bold numbers indicate the highest value, which indicates that the copula model provides the best fit to the data.