Tests of Independence in Separable Econometric Models: Theory and Application

28 Pages Posted: 3 Oct 2006

See all articles by Donald Brown

Donald Brown

Yale University - Cowles Foundation

Marten Wegkamp

Florida State University - Department of Statistics

Rahul Deb

University of Toronto

Date Written: October 2006

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 stimulate 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: C12, C13, C14, C30, C52

Suggested Citation

Brown, Donald J. and Wegkamp, Marten and Deb, Rahul, Tests of Independence in Separable Econometric Models: Theory and Application (October 2006). Yale University Economic Growth Center Discussion Paper No. 945, Cowles Foundation Discussion Paper No. 1395R, Available at SSRN: https://ssrn.com/abstract=934579

Donald J. Brown (Contact Author)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States

Marten Wegkamp

Florida State University - Department of Statistics ( email )

United States

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

Rahul Deb

University of Toronto ( email )

Toronto, Ontario M5S 3G8
Canada

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

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