CFDP 1395

Tests of Independence in Separable Econometric Models


Publication Date: January 2003

Pages: 19


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


Cramér-von Mises distance, Empirical independence processes, Random utility models, Semiparametric econometric models, Specification test of independence