Tests of Independence in Separate Econometric Models: Theory and Application

24 Pages Posted: 4 Dec 2007

See all articles by Donald Brown

Donald Brown

Yale University - Cowles Foundation

Rahul Deb

University of Toronto

Marten Wegkamp

Florida State University - Department of Statistics

Date Written: December 2007

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.

Keywords: Cramér-von Mises distance, Empirical independence processes, Random utility models, Semiparametric econometric models, Specification test of independence

JEL Classification: C01, C13, C14, C15, D12

Suggested Citation

Brown, Donald J. and Deb, Rahul and Wegkamp, Marten, Tests of Independence in Separate Econometric Models: Theory and Application (December 2007). Cowles Foundation Discussion Paper No. 1395RR, Available at SSRN: https://ssrn.com/abstract=1054001

Donald J. Brown (Contact Author)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States

Rahul Deb

University of Toronto ( email )

Toronto, Ontario M5S 3G8
Canada

HOME PAGE: http://www.economics.utoronto.ca/debrahul/

Marten Wegkamp

Florida State University - Department of Statistics ( email )

United States

HOME PAGE: http://stat.fsu.edu/~wegkamp/

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