Testing multivariate economic restrictions using quantiles: The example of Slutsky negative semidefiniteness
Autor: | Stefan Hoderlein, Natalie Neumeyer, Holger Dette |
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Rok vydání: | 2016 |
Předmět: |
Statistics::Theory
Economics and Econometrics Multivariate statistics media_common.quotation_subject 02 engineering and technology 01 natural sciences 010104 statistics & probability 0202 electrical engineering electronic engineering information engineering Econometrics Statistics::Methodology 0101 mathematics Empirical process Mathematics media_common Variables Applied Mathematics Univariate jel:C12 Nonparametric Testing Heterogeneity Integrability Nonseparable Models Consumer Demand Quantile Regression Estimator jel:D12 020206 networking & telecommunications jel:C14 Statistics::Computation Quantile regression Kernel (statistics) Quantile |
Zdroj: | Journal of Econometrics. 191:129-144 |
ISSN: | 0304-4076 |
Popis: | This 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. Difficulties 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. |
Databáze: | OpenAIRE |
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