• Media type: Report; E-Book
  • Title: Tests of independence in separable econometric models: theory and application
  • Contributor: Brown, Donald J. [Author]; Deb, Rahul [Author]; Wegkamp, Marten H. [Author]
  • imprint: New Haven, CT: Yale University, Economic Growth Center, 2006
  • Language: English
  • Keywords: semiparametric econometric models ; specification test of independence ; Cramér-von Mises distance ; C13 ; C30 ; C52 ; random utility models ; C12 ; empirical independence processes
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  • 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 stimulate estimation of a random quasilinear utility function, where we apply our tests of independence.
  • Access State: Open Access