Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/26986
Authors: 
Brown, Donald J.
Deb, Rahul
Wegkamp, Marten H.
Year of Publication: 
2006
Series/Report no.: 
Center discussion paper // Economic Growth Center 946
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 stimulate estimation of a random quasilinear utility function, where we apply our tests of independence.
Subjects: 
Cramér-von Mises distance
empirical independence processes
random utility models
semiparametric econometric models
specification test of independence
JEL: 
C12
C13
C30
C52
Document Type: 
Working Paper

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