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Testing for Rationality and Separability
This project started in
the Autumn of 2003. It has been funded by two grants from the Jan Wallander and Tom Hedelius
Foundation.
Short description of
the project
The main aim of the
project has been to improve and extend existing non-parametric tests for
rationality and separability, to compare these tests to parametric tests
through simulation studies and to apply the tests in empirical situations.
At the beginning of the
project we focused on presenting a unified framework for testing weak
separability, and on applying this approach in a number of practical
situations. In particular we have worked on the following:
Ø Improving the feasibility and
performance of various tests of separability
Ø Incorporating the presence of
measurement errors into the testing framework.
We are planning a large
scale Monte Carlo experiment to compare the performance of existing and
recently developed tests for weak separability. This work will make extensive
use of the Lunarc system.
In 2007 the members of
the project team organised the conference "Measurement Error:
Econometrics and practice". This was a joint conference organised by
Aston University and Lund University and held in Birmingham July 9 – 11 2007.
Selected papers from the conference have been published in a special number
of Advances in Econometrics (volume 24, 2009).
Here are longer
descriptions of the first grant and the second grant.
Full members of the team:
Professor David
Edgerton, Lund University (leader of the project)
Dr. Thomas
Elger, previously at Lund
University
Associate Professor Barry
Jones, State University of New York in Binghamton.
Professor Jones was a visiting researcher at the Department of
Economics at Lund during 2008 and also during the summers of 2004, 2007 and
2009.
Consulting members of
the team:
Professor William Barnett, University
of Kansas
Professor James
Swofford, University of South Alabama
Professor Swofford visited Lund in the
autumn term 2008.
Publications
2004
·
"Tools for Non-Linear Time Series
Forecasting in Economics – An Empirical Comparison of Regime Switching Vector
Autoregressive Models and Recurrent Neural Networks" (Jane Binner, Thomas Elger, Birger Nilsson and
Jonathan Tepper), Advances in Econometrics,
Vol. 19, 71-91, 2004.
·
"The UK Household Sector Demand for Risky Money"
(Thomas Elger and Jane Binner), Topics in Macroeconomics, Vol. 4,
Issue 1, Article 3, 2004. Link.
2005
·
"A comparison of linear forecasting models and
neural networks: an application to Euro inflation" (Jane Binner, Rakesh
Bissoondeeal, Thomas Elger, Alicia Gazely and Andrew Mullineux), Applied
Economics, 37, 665-680, 2005.
·
"Introduction" (Jane
Binner and Thomas Elger)
pp 1-5 in Michael Belongia och
Jane Binner (Eds.), "Money, Measurement and Computation", Palgrave-MacMillan, 2005. Link.
·
"Sweep Programs and Optimal Monetary
Aggregation" (Barry Jones, Donald Dutkowsky
and Thomas Elger), Journal of Banking and Finance, 29, 483-508, 2005.
·
"Toward a Unified Approach to Testing for Weak
Separability" (Barry Jones, Thomas Elger, David Edgerton and
Donald Dutkowsky), Economics Bulletin, Vol.
3, no. 20, pp. 1-8, 2005. Link.
·
"A
Comparison of Two Methods for Testing the Utility Maximization Hypothesis
when Quantity Data is Measured with Error"
(Barry Jones and Philippe de Peretti),
Macroeconomic Dynamics, 9, 612-629, 2005.
2006
·
"Predictable non-linearities in U.S.
inflation" (Jane Binner, Thomas Elger, Birger Nilsson and Jonathan Tepper), Economics Letters, 93, 323-328, 2006.
·
"Forecasting With Monetary Aggregates: Recent
Evidence for the United States" (Thomas Elger, Barry Jones and Birger Nilsson), Journal of Economics and
Business, 58, 428-446, 2006.
2007
·
"Non-Parametric
Tests of the Necessary and Sufficient Conditions for Separability" (Barry Jones, Nadine McCloud and
David Edgerton), Chapter 3, pp 33-56 in William
A. Barnett and Apostolos Serletis
(Eds) "Functional Structure
Inference",
Elsevier, Amsterdam, 2007.
·
"Food Demand in Sweden: A Non-Parametric
Approach" (Per Hjertstrand), Chapter 9, pp 157-182, in William
A. Barnett and Apostolos Serletis
(Eds) "Functional Structure
Inference",
Elsevier, Amsterdam, 2007.
2008
·
"Monetary Policy and
Monetary Asset Substitution" (Barry
Jones, Adrian Fleissig, Thomas Elger and Donald Dutkowsky), Economics Letters, 99, 18-22, 2008
·
"Retail Sweep
Programs and Monetary Asset Substitution" (Barry
Jones, Adrian Fleissig, Thomas Elger and Donald Dutkowsky), Economics Letters, 99, 159-163, 2008.
·
"Does Money Matter in the IS Curve? The Case of
the UK" (Barry Jones and Livio Stracca), The
Manchester School, 76, 58-84,
2008.
·
"A Note on the Optimal Level of Monetary
Aggregation in the UK" (Thomas Elger, Barry Jones, David
Edgerton and Jane Binner), Macroeconomic
Dynamics, 12, 117-131, 2008.
·
"Can Rejections of
Weak Separability be Attributed to Random
Measurement Error in the Data?" (Thomas Elger and Barry Jones), Economics
Letters, 99, 44-47, 2008.
2009
·
Measurement
Error: Consequences, Applications and Solutions (eds. Jane Binner, David Edgerton and Thomas Elger)
Advances in Econometrics 24, Emerald Group Publishing Ltd, 2009.
·
"Admissible Monetary Aggregates for the Euro
Area" (Jane Binner, Rakesh Bissoondeeal, Thomas
Elger, Barry Jones and Andrew Mullineux), Journal of International Money and Finance, 28, 99-114, 2009.
·
"A Monte Carlo Study of the Necessary and
Sufficient Conditions for Weak Separability" (Per Hjertstrand) Advances in Econometrics, 24, 151-182,
2009.
·
"Testing Utility Maximization with Measurement
Errors in the Data" (Barry Jones and David
Edgerton), Advances in Econometrics, 24, 199-236,
2009.
·
"Relative sources of European regional
productivity convergence: A bootstrap frontier approach" (Per Hjertstrand and Kerstin Enflo), Regional Studies, 43:5,
643-659, 2009.
Forthcoming (Accepted for
publication)
·
"Revealed Preference Tests for Consistency with
Weakly Separable Indirect Utility" (Per Hjertstrand and James Swofford), Forthcoming in Theory
and Decision.
Other reports from the project
·
"Are Money and Consumption Additively Separable
in the Euro Area? A Non-Parametric Approach" (Barry Jones and Livio Stracca) European Central
Bank (ECB) Working Paper Series #704, December 2006. Download (pdf)
·
"Stock Market Effects on Money Demand in the
UK" (Barry Jones, Jane Binner, Andy Mullineaux
and Rakesh Bissoondeeal) Mimeo, 2009
·
"Testing for Rationality, Separability and
Efficiency" (Per Hjertstrand), PhD Thesis, 2008.
·
"A Generalized Afriat's
Theorem and Least Concavity" (Per Hjertstrand), Mimeo, 2010
·
"A Note on Testing for Strictly Quasi-Concave
Rationality" (Per Hjertstrand), Mimeo,
2010
·
"How do People Choose?
A Stochastic Test of the Number of Revealed Preference Violations" (Per Hjertstrand and James Swofford), Mimeo,
2010
·
"Testing Data on Asset Holdings for Consistency
with Mean-Variance Utility Maximization" (Per Hjertstrand, James Swofford and Gerald
Whitney), Mimeo, 2009
Last updated: 18 November 2010
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