A Test of Normality in Nonlinear Systems of Consumer Demand Equations

William Barnett

Chapter 2 in Contributions to Consumer Demand and Econometrics, 1992, pp 24-30 from Palgrave Macmillan

Abstract: Abstract Largely because of its increasingly heavy use in the consumer demand systems literature, the class of nonlinear systems of simultaneous (or joint) equation systems has become important in applied econometrics.1 The FIML (full information maximum likelihood) estimator is the most commonly used estimator for those models. Yet hypothesis tests based upon FIML estimation of simultaneous equation systems commonly condition upon an untested maintained hypothesis of normality of the error structure. In addition, when the system is nonlinear in its parameters, many of the asymptotic properties of widely used parameter estimators are known only subject to a normality assumption.2 Furthermore, a fully developed theory of quasi-maximum likelihood estimation does not yet exist in the nonlinear case.3 Hence the assumption of normally distributed disturbances inherently plays a central role in statistical inference with nonlinear simultaneous equation systems. Nevertheless, that normality assumption, unlike other assumptions on the error structure, appears never to have been tested in the relevant applied consumer demand systems literature.4 We shall present and apply a test for error structure normality.

Keywords: American Statistical Association; Consumer Demand; Error Structure; Empirical Distribution Function; Full Information Maximum Likelihood (search for similar items in EconPapers)
Date: 1992
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Chapter: A Test of Normality in Nonlinear Systems of Consumer Demand Equations (2004)
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:pal:palchp:978-1-349-12221-9_2

Ordering information: This item can be ordered from
http://www.palgrave.com/9781349122219

DOI: 10.1007/978-1-349-12221-9_2

Access Statistics for this chapter

More chapters in Palgrave Macmillan Books from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().