Tests of Independence in Separable Econometric Models: Theory and Application
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.
|Date of creation:||Jan 2003|
|Date of revision:||Oct 2006|
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Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(1), pages 183-188, April.
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- Rosa L. Matzkin, 2008. "Identification in Nonparametric Simultaneous Equations Models," Econometrica, Econometric Society, vol. 76(5), pages 945-978, 09. Full references (including those not matched with items on IDEAS)
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