COWLES FOUNDATION FOR RESEARCH IN
ECONOMICS Box 208281
COWLES FOUNDATION DISCUSSION PAPER NO. 1395RR TESTS OF INDEPENDENCE IN SEPARABLE ECONOMETRIC MODELS: Donald J. Brown, Rahul Deb and Marten H. Wegkamp Revised December 2007 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. |
