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Admissible Clustering Of Aggregator Components: A Necessary And Sufficient Stochastic Seminonparametric Test For Weak Separability

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Author Info
Barnett, William A.
de Peretti, Philippe

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Abstract

In aggregation theory, the admissibility condition for clustering components to be aggregated is blockwise weak separability, which also is the condition needed to separate out sectors of the economy. Although weak separability is thereby of central importance in aggregation and index number theory and in econometrics, prior attempts to produce statistical tests of weak separability have performed poorly in Monte Carlo studies. This paper introduces a new class of weak separability tests, which is seminonparametric. Such tests are both based on a necessary and sufficient condition and are fully stochastic, allowing to take into account measurement error. Simulations show that the tests perform well, even for large measurement errors.

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Publisher Info
Article provided by Cambridge University Press in its journal Macroeconomic Dynamics.

Volume (Year): 13 (2009)
Issue (Month): S2 (September)
Pages: 317-334
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Handle: RePEc:cup:macdyn:v:13:y:2009:i:s2:p:317-334_09

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Varian, Hal R, 1982. "The Nonparametric Approach to Demand Analysis," Econometrica, Econometric Society, vol. 50(4), pages 945-73, July. [Downloadable!] (restricted)
  2. Barry Jones & Thomas Elger & David Edgerton & Donald Dutkowsky, 2005. "Toward a unified approach to testing for weak separability," Economics Bulletin, Economics Bulletin, vol. 3(20), pages 1-7. [Downloadable!]
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  3. Fleissig, Adrian R. & Whitney, Gerald A., 2005. "Testing for the Significance of Violations of Afriat's Inequalities," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 355-362, July. [Downloadable!] (restricted)
  4. Swofford, James L. & Whitney, Gerald A., 1994. "A revealed preference test for weakly separable utility maximization with incomplete adjustment," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 235-249. [Downloadable!] (restricted)
  5. Barnett, William A & Choi, Seungmook, 1989. "A Monte Carlo Study of Tests of Blockwise Weak Separability," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 363-77, July.
  6. Harvey, Andrew C & Koopman, Siem Jan, 1992. "Diagnostic Checking of Unobserved-Components Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 377-89, October.
  7. Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 291-320, October.
  8. Fisher, Douglas & Fleissig, Adrian R, 1997. "Monetary Aggregation and the Demand for Assets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(4), pages 458-75, November.
  9. Varian, Hal R., 1985. "Non-parametric analysis of optimizing behavior with measurement error," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 445-458. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Barnett, William A. & Diewert, W. Erwin & Zellner, Arnold, 2009. "Introduction to Measurement with Theory," MPRA Paper 14868, University Library of Munich, Germany. [Downloadable!]
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