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Identification of Individual Demands from Market Data under Uncertainty

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Author Info
Andres Carvajal (University of Warwick)
Alvaro Riascos (Universidad de los Andes)
Abstract

We show that, even under incomplete markets, the equilibrium manifold identifies individual demands everywhere in their domains. Under partial observation of the manifold, we determine maximal subsets of the domains on which identification holds. For this, we assume conditions of smoothness, interiority and regularity. It is crucial that there be date-zero consumption. As a by-product, we develop a duality theory under incomplete markets.

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Article provided by Berkeley Electronic Press in its journal Topics in Theoretical Economics.

Volume (Year): 8 (2008)
Issue (Month): 1 ()
Pages: 1420-1420
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Handle: RePEc:bep:thetop:v:8:y:2008:i:1:p:1420-1420

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Related research
Keywords: identification equilibrium manifold incomplete markets

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Find related papers by JEL classification:
D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets

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  1. Chiappori, P. -A. & Ekeland, I. & Kubler, F. & Polemarchakis, H. M., 2004. "Testable implications of general equilibrium theory: a differentiable approach," Journal of Mathematical Economics, Elsevier, vol. 40(1-2), pages 105-119, February. [Downloadable!] (restricted)
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  2. Geanakoplos, J. D. & Polemarchakis, H. M., 1990. "Observability and optimality," Journal of Mathematical Economics, Elsevier, vol. 19(1-2), pages 153-165. [Downloadable!] (restricted)
  3. Arthur Lewbel, 2000. "A Rational Rank Four Demand System," Boston College Working Papers in Economics 463, Boston College Department of Economics, revised 04 Apr 2003. [Downloadable!]
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  4. Carvajal, Andres & Ray, Indrajit & Snyder, Susan, 2004. "Equilibrium behavior in markets and games: testable restrictions and identification," Journal of Mathematical Economics, Elsevier, vol. 40(1-2), pages 1-40, February. [Downloadable!] (restricted)
  5. Kubler, Felix, 2003. "Observable restrictions of general equilibrium models with financial markets," Journal of Economic Theory, Elsevier, vol. 110(1), pages 137-153, May. [Downloadable!] (restricted)
  6. Geanakoplos, John & Heal, Geoffrey, 1983. "A geometric explanation of the transfer paradox in a stable economy," Journal of Development Economics, Elsevier, vol. 13(1-2), pages 223-236. [Downloadable!] (restricted)
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  7. James Banks & Richard Blundell & Arthur Lewbel, 1997. "Quadratic Engel Curves And Consumer Demand," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 527-539, November. [Downloadable!] (restricted)
  8. Kubler, F. & Chiappori, P. -A. & Ekeland, I. & Polemarchakis, H. M., 2002. "The Identification of Preferences from Equilibrium Prices under Uncertainty," Journal of Economic Theory, Elsevier, vol. 102(2), pages 403-420, February. [Downloadable!] (restricted)
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  9. Geanakoplos,J.D. Polemarchakis,H.M., 1988. "Observability and optimality," Discussion Paper Serie A 216, University of Bonn, Germany.
  10. Yves Balasko, 2004. "The equilibrium manifold keeps the memory of individual demand functions," Economic Theory, Springer, vol. 24(3), pages 493-501, October. [Downloadable!] (restricted)
  11. Brown, Donald J & Matzkin, Rosa L, 1996. "Testable Restrictions on the Equilibrium Manifold," Econometrica, Econometric Society, vol. 64(6), pages 1249-62, November. [Downloadable!] (restricted)
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  12. Rosa Matzkin, 2005. "Identification of consumers’ preferences when their choices are unobservable," Economic Theory, Springer, vol. 26(2), pages 423-443, 08. [Downloadable!] (restricted)
  13. Donsimoni, M. -P. & Polemarchakis, H. M., 1994. "Redistribution and welfare," Journal of Mathematical Economics, Elsevier, vol. 23(3), pages 235-242, May. [Downloadable!] (restricted)
  14. Andrés Carvajal & Alvaro Riascos, 2005. "Identification of Preferences from Market Data," Advances in Theoretical Economics, Berkeley Electronic Press, vol. 5(1), pages 1195-1195. [Downloadable!] (restricted)
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