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A Monte Carlo Study of the Necessary and Sufficienct Conditions for Weak Separability

Hjertstrand, Per LU (2009) In Advances in Econometrics 24. p.151-182
Abstract
Weak separability is an important concept in many fields of economic theory. This chapter uses Monte Carlo experiments to investigate the performance of newly developed nonparametric revealed preference tests for weak separability. A main finding is that the bias of the sequentially implemented test for weak separability proposed by Fleissig and Whitney (2003) is low. The theoretically unbiased Swofford and Whitney test (1994) is found to perform better than all sequentially implemented test procedures but is found to suffer from an empirical bias, most likely because of the complexity in executing the test procedure. As a further source of information, we also perform sensitivity analyses on the nonparametric revealed preference tests. It... (More)
Weak separability is an important concept in many fields of economic theory. This chapter uses Monte Carlo experiments to investigate the performance of newly developed nonparametric revealed preference tests for weak separability. A main finding is that the bias of the sequentially implemented test for weak separability proposed by Fleissig and Whitney (2003) is low. The theoretically unbiased Swofford and Whitney test (1994) is found to perform better than all sequentially implemented test procedures but is found to suffer from an empirical bias, most likely because of the complexity in executing the test procedure. As a further source of information, we also perform sensitivity analyses on the nonparametric revealed preference tests. It is found that the Fleissig and Whitney test seems to be sensitive to measurement errors in the data. (Less)
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Advances in Econometrics
volume
24
pages
151 - 182
publisher
Elsevier
external identifiers
  • scopus:84856636076
ISSN
0731-9053
DOI
10.1108/S0731-9053(2009)0000024010
language
English
LU publication?
yes
id
9bce68de-b6e4-4fbe-a4f6-4564bae3bd62 (old id 1763378)
date added to LUP
2011-01-21 14:52:48
date last changed
2017-08-20 04:01:50
@article{9bce68de-b6e4-4fbe-a4f6-4564bae3bd62,
  abstract     = {Weak separability is an important concept in many fields of economic theory. This chapter uses Monte Carlo experiments to investigate the performance of newly developed nonparametric revealed preference tests for weak separability. A main finding is that the bias of the sequentially implemented test for weak separability proposed by Fleissig and Whitney (2003) is low. The theoretically unbiased Swofford and Whitney test (1994) is found to perform better than all sequentially implemented test procedures but is found to suffer from an empirical bias, most likely because of the complexity in executing the test procedure. As a further source of information, we also perform sensitivity analyses on the nonparametric revealed preference tests. It is found that the Fleissig and Whitney test seems to be sensitive to measurement errors in the data.},
  author       = {Hjertstrand, Per},
  issn         = {0731-9053},
  language     = {eng},
  pages        = {151--182},
  publisher    = {Elsevier},
  series       = {Advances in Econometrics},
  title        = {A Monte Carlo Study of the Necessary and Sufficienct Conditions for Weak Separability},
  url          = {http://dx.doi.org/10.1108/S0731-9053(2009)0000024010},
  volume       = {24},
  year         = {2009},
}