“…If this correlation is significant, the Gaussian copula approach indicates a potential endogeneity problem and the inclusion of the Gaussian copula term in the regression model should correct the endogeneity problem. Otherwise, if the correlation is not significant, researchers assume that endogeneity does not substantially affect the regression model's results and, therefore, they often do not include the respective copula terms in their final model (e.g., Campo et al, 2021;van Ewijk et al, 2021;Wlömert & Papies, 2019).…”