Download This PaperTests of Independence in Separable Econometric Models
20 Pages Posted: 30 Jan 2003
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: 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
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