Testing demand homogeneity when error terms have an elliptically symmetric distribution

Manami Ogura and Kazuhiro Ohtani

Applied Economics Letters, 2007, vol. 14, issue 7, 497-502

Abstract: In this article, we show that the exact test for the homogeneity restriction developed by Laitinen (1978) is robust when the error terms have an elliptically symmetric distribution. The power performance of the test is also examined, assuming that the error terms have a multivariate t distribution. Our empirical example shows that the homogeneity restriction is not rejected at the 5% level by the exact test though it is rejected by the asymptotic Wald test.

Date: 2007
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DOI: 10.1080/13504850500447430

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