Tests of Independence in Separable Econometric Models

Donald Brown () and Marten H. Wegkamp
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Marten H. Wegkamp: Yale University

No 1395, Cowles Foundation Discussion Papers from Cowles Foundation, Yale University

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.

Keywords: Cramer-von Mises distance; Empirical independence processes; Random utility models; Semiparametric econometric models; Specification test of independence (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-pke
Date: 2003-01
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Working Paper: Tests of Independence in Separable Econometric Models (2004)
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