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:	2004-07-28
Authors:	Brown, Donald J.
Institutions:	School of Management, Yale University
Subject:	Cramer-von Mises Distance \| Empirical Independence Processes \| Random Utility Models \| Semir

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Extent:	application/pdf
Series:	Yale School of Management Working Papers.
Type of publication:	Book / Working Paper
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005178465