This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Tests of Independence in Separable Econometric Models: Theory and Application

Author info | Abstract | Publisher info | Download info | Related research | Statistics
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)

Additional information is available for the following registered author(s):

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://cowles.econ.yale.edu/P/cd/d13b/d1395-rr.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1395RR.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 27 pages
Date of creation: Jan 2003
Date of revision: Dec 2007
Handle: RePEc:cwl:cwldpp:1395rr

Contact details of provider:
Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.econ.yale.edu/
More information through EDIRC

Order Information:
Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

For technical questions regarding this item, or to correct its listing, contact: (Glena Ames).

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:
C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis

This paper has been announced in the following NEP Reports:

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)
Full references

Statistics
Access and download statistics

Did you know? Use the JEL tree to browse through the database by subfields.

This page was last updated on 2009-11-12.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.