Published in:Cowles Foundation Discussion Paper ; No. 1395RR
Extent:
1 Online-Ressource (24 p)
Language:
English
Origination:
Footnote:
In: Cowles Foundation Discussion Paper No. 1395RR
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 2007 erstellt
Description:
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 simulate estimation of a random quasilinear utility function, where we apply our tests of independence