Testing multivariate economic restrictions using quantiles

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dc.contributor.authorDette, Holger
dc.contributor.authorHoderlein, Stefan
dc.contributor.authorNeumeyer, Natalie
dc.date.accessioned2011-03-02T11:29:26Z
dc.date.available2011-03-02T11:29:26Z
dc.date.issued2011-03-02
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 infi nite 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.en
dc.identifier.urihttp://hdl.handle.net/2003/27635
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-8836
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823 ; 09/2011
dc.subjectConsumer Demanden
dc.subjectHeterogeneityen
dc.subjectIntegrabilityen
dc.subjectNonparametric Testingen
dc.subjectNonseparable Modelen
dc.subjectQuantile Regressionen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleTesting multivariate economic restrictions using quantilesen
dc.title.alternativeThe example of Slutsky negative semidefinitenessen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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