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Titel
Testing multivariate economic restrictions using quantiles : the example of Slutsky negative semidefiniteness / Holger Dette, Stefan Hoderlein, Natalie Neumeyer
VerfasserDette, Holger ; Hoderlein, Stefan ; Neumeyer, Natalie
Erschienen[Dortmund] : SFB 823, 2011
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Elektronische Ressource
Umfang1 Online-Ressource (35, 4 Seiten) : Diagramme
SerieDiscussion paper ; Nr. 09 (2011)
URNurn:nbn:de:hbz:6:2-1311931 
DOI10.17877/DE290R-8836 
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Testing multivariate economic restrictions using quantiles [0.54 mb]
Zusammenfassung

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 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.

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