Tests of Independence in Separable Econometric Models: Theory and Application

Donald J. Brown, Rahul Deb and Marten Wegkamp

No 28395, Center Discussion Papers from Yale University, Economic Growth Center

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: Research; Methods/; Statistical; Methods (search for similar items in EconPapers)
Pages: 26
Date: 2006
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Tests of Independence in Separable Econometric Models: Theory and Application (2007)
Working Paper: Tests of Independence in Separable Econometric Models: Theory and Application (2006)
Working Paper: Tests of Independence in Separable Econometric Models: Theory and Application (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:yaleeg:28395

DOI: 10.22004/ag.econ.28395

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