Title

Tests of Independence in Separable Econometric Models: Theory and Application

Document Type

Discussion Paper

Publication Date

1-1-2003

CFDP Number

1395R2

CFDP Revision Date

2007-12-01

CFDP Pages

23

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. As an application, we simulate estimation of a random quasilinear utility function, where we apply our tests of independence.

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