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Tests of Independence in Separable Econometric Models: Theory and Application

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Author Info
Donald J. Brown () (Cowles Foundation, Yale University)
Rahul Deb (Dept. of Economics, Yale University)
Marten H. Wegkamp (Dept. of Statistics, Florida State University)

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Abstract

A common stochastic restriction in econometric models separable in the latent variables is the assumption of stochastic independence between the unobserved and observed exogenous variables. Both simple and composite tests of this assumption are derived from properties of independence empirical processes and the consistency of these tests is established. As an application, we simulate estimation of a random quasilinear utility function, where we apply our tests of independence.

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File URL: http://cowles.econ.yale.edu/P/cd/d13b/d1395-r.pdf
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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1395R.

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Length: 26 pages
Date of creation: Jan 2003
Date of revision: Oct 2006
Handle: RePEc:cwl:cwldpp:1395r

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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Related research
Keywords: Cramer–von Mises distance Empirical independence processes Random utility models Semiparametric econometric models Specification test of independence

Other versions of this item:

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

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References listed on IDEAS
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. Donald J. Brown & Caterina Calsamiglia, 2005. "The Nonparametric Approach to Applied Welfare Analysis," Cowles Foundation Discussion Papers 1507, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  2. Brown, Bryan W, 1983. "The Identification Problem in Systems Nonlinear in the Variables," Econometrica, Econometric Society, vol. 51(1), pages 175-96, January. [Downloadable!] (restricted)
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This page was last updated on 2008-8-18.

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