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dc.contributor.authorDette, Holgeren_US
dc.contributor.authorHoderlein, Stefanen_US
dc.contributor.authorNeumeyer, Natalieen_US
dc.date.accessioned2011-05-17en_US
dc.date.accessioned2012-10-16T13:10:49Z-
dc.date.available2012-10-16T13:10:49Z-
dc.date.issued2011en_US
dc.identifier.pidoi:10.1920/wp.cem.2011.1411en_US
dc.identifier.urihttp://hdl.handle.net/10419/64800-
dc.description.abstractThis paper is concerned with testing rationality restrictions using quantile regression methods. Specifically, we consider negative semidefiniteness of the Slutsky matrix, arguably the core restriction implied by utility maximization. We consider a heterogeneous population characterized by a system of nonseparable structural equations with infinite dimensional unobservable. To analyze the economic restriction, we employ quantile regression methods because they allow us to utilize the entire distribution of the data. Dificulties arise because the restriction involves several equations, while the quantile is a univariate concept. We establish that we may test the economic restriction by considering quantiles of linear combinations of the dependent variable. For this hypothesis we develop a new empirical process based test that applies kernel quantile estimators, and derive its large sample behavior. We investigate the performance of the test in a simulation study. Finally, we apply all concepts to Canadian individual data, and show that rationality is an acceptable description of actual individual behavior.en_US
dc.language.isoengen_US
dc.publisherCentre for Microdata Methods and Practice Londonen_US
dc.relation.ispartofseriescemmap working paper CWP14/11en_US
dc.subject.ddc330en_US
dc.subject.keywordNonparametric Testingen_US
dc.subject.keywordHeterogeneityen_US
dc.subject.keywordIntegrabilityen_US
dc.subject.keywordNonseparable Modelsen_US
dc.subject.keywordConsumer Demanden_US
dc.subject.keywordQuantile Regressionen_US
dc.titleTesting multivariate economic restrictions using quantiles: The example of Slutsky negative semidefinitenessen_US
dc.typeWorking Paperen_US
dc.identifier.ppn658998080en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)

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