Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/64800 
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dc.contributor.authorDette, Holgeren
dc.contributor.authorHoderlein, Stefanen
dc.contributor.authorNeumeyer, Natalieen
dc.date.accessioned2011-05-17-
dc.date.accessioned2012-10-16T13:10:49Z-
dc.date.available2012-10-16T13:10:49Z-
dc.date.issued2011-
dc.identifier.pidoi:10.1920/wp.cem.2011.1411en
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
dc.language.isoengen
dc.publisher|aCentre for Microdata Methods and Practice (cemmap) |cLondonen
dc.relation.ispartofseries|acemmap working paper |xCWP14/11en
dc.subject.ddc330en
dc.subject.keywordNonparametric Testingen
dc.subject.keywordHeterogeneityen
dc.subject.keywordIntegrabilityen
dc.subject.keywordNonseparable Modelsen
dc.subject.keywordConsumer Demanden
dc.subject.keywordQuantile Regressionen
dc.titleTesting multivariate economic restrictions using quantiles: The example of Slutsky negative semidefiniteness-
dc.typeWorking Paperen
dc.identifier.ppn658998080en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:ifs:cemmap:14/11en

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