Tests of Independence in Separable Econometric Models: Theory and Application

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.


Issue Date:
2006
Publication Type:
Working or Discussion Paper
PURL Identifier:
http://purl.umn.edu/28395
Total Pages:
26
Series Statement:
Economic Growth Center Discussion Paper No. 946




 Record created 2017-04-01, last modified 2017-08-22

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