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Testing For Weak Separability Using Stochastic Semi-Nonparametric Tests: An Empirical Study On Us Data

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  • Ryan Mattson

    (West Texas A&M University)

  • Philippe de Peretti

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

In this paper, we use the weak separability criterion to check for the existence of six different monetary aggregates reported by the Center of Financial Stability (CFS). We implement an extended version of the semi-nonparametric tests introduced by Barnett and de Peretti on US monthly data from January 1967 to December 2012. The test, first, checks for the necessary existence conditions of an overall utility function and a monetary subutility function, and then tests for the separability of the latter. On different subsamples, our results suggest that only the DM1 aggregate meets the separability criterion. Implemented on macroeconomic data, we have tested a joint assumption about separability and the existence of a representative agent. Thus, the rejection of the null could also be due to the rejection of stringent Gorman's conditions. More advanced tests for weak separability are clearly required to confirm the results found in this paper.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Ryan Mattson & Philippe de Peretti, 2018. "Testing For Weak Separability Using Stochastic Semi-Nonparametric Tests: An Empirical Study On Us Data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02091676, HAL.
    • Handle: RePEc:hal:cesptp:hal-02091676
    DOI: 10.1017/S1365100516000791
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    Cited by:

    1. Ali Jadidzadeh & Apostolos Serletis, 2019. "The Demand for Assets and Optimal Monetary Aggregation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(4), pages 929-952, June.

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