Admissible clustering of aggregator components: a necessary and sufficient stochastic semi-nonparametric test for weak separability
In aggregation theory, the admissibility condition for clustering together 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 deals with semi-nonparametric tests for weak separability. It introduces both a necessary and sufficient test, and a fully stochastic procedure allowing to take into account measurement error. Simulations show that the test performs well, even for large measurement errors.
|Date of creation:||03 Nov 2008|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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.:
- Varian, Hal R, 1982. "The Nonparametric Approach to Demand Analysis," Econometrica, Econometric Society, vol. 50(4), pages 945-973, July.
- Cheng Hsiao, 1997. "Statistical Properties of the Two-Stage Least Squares Estimator Under Cointegration," Review of Economic Studies, Oxford University Press, vol. 64(3), pages 385-398.
- 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.
- David Edgerton & Donald Dutkowsky & Thomas Elger & Barry Jones, 2005.
"Toward a unified approach to testing for weak separability,"
AccessEcon, vol. 3(20), pages 1-7.
- Jones, Barry & Elger, Thomas & Edgerton, David & Dutkowsky, Donald, 2004. "Toward a Unified Approach to Testing for Weak Separability," Working Papers 2004:1, Lund University, Department of Economics.
- Kitamura, Yuichi & Phillips, Peter C. B., 1997. "Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments," Journal of Econometrics, Elsevier, vol. 80(1), pages 85-123, September.
- Yuichi Kitamura & Peter C.B. Phillips, 1994. "Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments," Cowles Foundation Discussion Papers 1082, Cowles Foundation for Research in Economics, Yale University.
- Deaton,Angus & Muellbauer,John, 1980. "Economics and Consumer Behavior," Cambridge Books, Cambridge University Press, number 9780521296762, December.
- 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.
- 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 458-475, November.
- 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 363-377, July.
- 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 377-389, October.
- 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.
- de PERETTI, PHILIPPE, 2005. "Testing The Significance Of The Departures From Utility Maximization," Macroeconomic Dynamics, Cambridge University Press, vol. 9(03), pages 372-397, June.
- Varian, Hal R., 1985. "Non-parametric analysis of optimizing behavior with measurement error," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 445-458. Full references (including those not matched with items on IDEAS)