Tests of Independence in Separable Econometric Models: Theory and Application

Donald Brown (), Rahul Deb and Marten Wegkamp ()
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Marten Wegkamp: Florida State University

Working Papers from Economic Growth Center, 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. As an application, we stimulate estimation of a random quasilinear utility function, where we apply our tests of independence.

Keywords: Cramér-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 C30 C52 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2006-10
New Economics Papers: this item is included in nep-ecm and nep-upt
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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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