Testing multivariate economic restrictions using quantiles: The example of Slutsky negative semidefiniteness

Holger Dette, Stefan Hoderlein and Natalie Neumeyer

Journal of Econometrics, 2016, vol. 191, issue 1, 129-144

Abstract: This paper is concerned with testing a core economic restriction, negative semidefiniteness of the Slutsky matrix. We consider a system of nonseparable structural equations with infinite dimensional unobservables, and employ quantile regression methods because they allow us to utilize the entire distribution of the data. Difficulties arise because the restriction involves several equations, while the quantile is a univariate concept. We establish that we may use quantiles of linear combinations of the dependent variable, develop a new empirical process based test that applies kernel quantile estimators, and investigate its finite and large sample behavior. Finally, we apply all concepts to Canadian microdata.

Keywords: Nonparametric testing; Heterogeneity; Integrability; Nonseparable models; Consumer demand; Quantile regression (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S030440761500250X
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Testing Multivariate Economic Restrictions Using Quantiles: The Example of Slutsky Negative Semidefiniteness (2013)
Working Paper: Testing multivariate economic restrictions using quantiles: the example of Slutsky negative semidefiniteness (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:191:y:2016:i:1:p:129-144

DOI: 10.1016/j.jeconom.2015.07.004

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().