Tests of Independence in Separable Econometric Models

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.

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Year of publication:	2003-01
Authors:	Brown, Donald J. ; Wegkamp, Marten H.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Cramer-von Mises distance \| Empirical independence processes \| Random utility models \| Semiparametric econometric models \| Specification test of independence

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The price is None Number 1395 19 pages
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005087367