Tests of Independence in Separable Econometric Models

20 Pages Posted: 30 Jan 2003

See all articles by Donald Brown

Donald Brown

Yale University - Cowles Foundation

Marten Wegkamp

Florida State University - Department of Statistics

Date Written: January 2003

Abstract

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.

Keywords: Cramer-von Mises Distance, Empirical Independence Processes, Random Utility Models, Semir

JEL Classification: C12, C13, C14

Suggested Citation

Brown, Donald J. and Wegkamp, Marten, Tests of Independence in Separable Econometric Models (January 2003). Available at SSRN: https://ssrn.com/abstract=374882

Donald J. Brown (Contact Author)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States

Marten Wegkamp

Florida State University - Department of Statistics ( email )

United States

HOME PAGE: http://stat.fsu.edu/~wegkamp/

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