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dc.contributor.authorBrown, Donald J.en_US
dc.contributor.authorDeb, Rahulen_US
dc.contributor.authorWegkamp, Marten H.en_US
dc.description.abstractA 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 stimulate estimation of a random quasilinear utility function, where we apply our tests of independence.en_US
dc.publisherYale Univ., Economic Growth Center New Haven, Conn.en_US
dc.relation.ispartofseriesCenter discussion paper // Economic Growth Center 946en_US
dc.subject.keywordCramér-von Mises distanceen_US
dc.subject.keywordempirical independence processesen_US
dc.subject.keywordrandom utility modelsen_US
dc.subject.keywordsemiparametric econometric modelsen_US
dc.subject.keywordspecification test of independenceen_US
dc.titleTests of independence in separable econometric models: theory and applicationen_US
dc.typeWorking Paperen_US
Appears in Collections:Center Discussion Papers, Economic Growth Center (EGC), Yale University

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