Related papers: Nonparametric Analysis of Random Utility Models
It has recently been shown that an unbinned distance-based statistic, the energy, can be used to construct an extremely powerful nonparametric multivariate two sample goodness-of-fit test. An extension to this method that makes it possible…
The problem of testing for the parametric form of the conditional variance is considered in a fully nonparametric regression model. A test statistic based on a weighted $L_2$-distance between the empirical characteristic functions of…
In this paper, in order to test whether changes have occurred in a nonlinear parametric regression, we propose a nonparametric method based on the empirical likelihood. Firstly, we test the null hypothesis of no-change against the…
We propose an empirical likelihood ratio test for nonparametric model selection, where the competing models may be nested, nonnested, overlapping, misspecified, or correctly specified. It compares the squared prediction errors of models…
This paper proposes a nonparametric test for $m$th-degree inverse stochastic dominance which is a powerful tool for ranking distribution functions according to social welfare. We construct the test based on empirical process theory. The…
In this paper, we introduce a flexible and widely applicable nonparametric entropy-based testing procedure that can be used to assess the validity of simple hypotheses about a specific parametric population distribution. The testing…
Financial econometrics has become an increasingly popular research field. In this paper we review a few parametric and nonparametric models and methods used in this area. After introducing several widely used continuous-time and…
We study a dynamic random utility model that allows for consumption dependence. We axiomatically analyze this model and find insights that allow us to distinguish between behavior that arises due to consumption dependence and behavior that…
Recent work has focused on nonparametric estimation of conditional treatment effects, but inference has remained relatively unexplored. We propose a class of nonparametric tests for both quantitative and qualitative treatment effect…
We formulate nonparametric and semiparametric hypothesis testing of multivariate stationary linear time series in a unified fashion and propose new test statistics based on estimators of the spectral density matrix. The limiting…
The Random Utility Model (RUM) is the leading model to represent the aggregate choices of a heterogeneous population of preference maximizers. We show that if (and only if) preferences are sufficiently uncorrelated, RUM choices can also be…
This paper studies optimal hypothesis testing for nonregular econometric models with parameter-dependent support. We consider both one-sided and two-sided hypothesis testing and develop asymptotically uniformly most powerful tests based on…
We present a general nonparametric approach for testing whether a statistical parameter defined through conditional distributions is constant across the conditioning variables. Such hypotheses arise naturally in problems such as assessing…
Heteroskedastic errors can lead to inaccurate statistical conclusions if they are not properly handled. We introduce a test for heteroskedasticity for the nonparametric regression model with multiple covariates. It is based on a suitable…
This paper considers the problem of testing whether there exists a non-negative solution to a possibly under-determined system of linear equations with known coefficients. This hypothesis testing problem arises naturally in a number of…
This paper studies semiparametric identification of substitution and complementarity patterns between two goods using a panel multinomial choice model with bundles. The model allows the two goods to be either substitutes or complements and…
To determine the welfare implications of price changes in demand data, we introduce a revealed preference relation over prices. We show that the absence of cycles in this relation characterizes a consumer who trades off the utility of…
We study a dynamic generalization of stochastic rationality in consumer behavior, the Dynamic Random Utility Model (DRUM). Under DRUM, a consumer draws a utility function from a stochastic utility process and maximizes this utility subject…
We examine identification of differentiated products demand when one has "micro data" linking individual consumers' characteristics and choices. Our model nests standard specifications featuring rich observed and unobserved consumer…
This paper considers endogenous selection models, in particular nonparametric ones. Estimating the unconditional law of the outcomes is possible when one uses instrumental variables. Using a selection equation which is additively separable…