COWLES FOUNDATION FOR RESEARCH IN
ECONOMICS Box 208281
COWLES FOUNDATION DISCUSSION PAPER NO. 1395 Tests of Independence in Separable Econometric Models Donald J. Brown and Marten H. Wegkamp January 2003 A common stochastic restriction in econometric models separable in the latent variablesis 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 Keywords: Cramér-von Mises distance, Empirical independence processes, Random utility models, Semiparametric econometric models, Specification test of independence JEL Classification: |
