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 stimulate estimation of a random quasilinear utility function, where we apply our tests of independence.
|Date of creation:||Oct 2006|
|Date of revision:|
|Contact details of provider:|| Postal: PO Box 8269, New Haven CT 06520-8269|
Phone: (203) 432-3610
Fax: (203) 432-3898
Web page: http://www.econ.yale.edu/
More information through EDIRC
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.:
- Rosa L. Matzkin, 2008. "Identification in Nonparametric Simultaneous Equations Models," Econometrica, Econometric Society, vol. 76(5), pages 945-978, 09.
- Brown, Bryan W, 1983. "The Identification Problem in Systems Nonlinear in the Variables," Econometrica, Econometric Society, vol. 51(1), pages 175-96, January.
- Roehrig, Charles S, 1988. "Conditions for Identification in Nonparametric and Parametic Models," Econometrica, Econometric Society, vol. 56(2), pages 433-47, March.
- Donald Brown & Caterina Calsamiglia, 2007.
"The Nonparametric Approach to Applied Welfare Analysis,"
Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(1), pages 183-188, April.
- Donald J. Brown & Caterina Calsamiglia, 2005. "The Nonparametric Approach to Applied Welfare Analysis," Cowles Foundation Discussion Papers 1507, Cowles Foundation for Research in Economics, Yale University.
When requesting a correction, please mention this item's handle: RePEc:egc:wpaper:946. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Louise Danishevsky)
If references are entirely missing, you can add them using this form.