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Heterogeneity and the Non-Parametric Analysis of Consumer Choice: Conditions for Invertibility

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WALTER BECKERT
RICHARD BLUNDELL

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Abstract

This paper considers structural non-parametric random utility models for continuous choice variables with unobserved heterogeneity. We provide sufficient conditions on random preferences to yield reduced-form systems of non-parametric stochastic demand functions that allow global invertibility between demands and non-separable unobserved heterogeneity. Invertibility is essential for global identification of structural consumer demand models, for the existence of well-specified probability models of choice and for the non-parametric analysis of revealed stochastic preference. We distinguish between new classes of models in which heterogeneity is separable and non-separable in the marginal rates of substitution, respectively. Copyright © 2008 The Review of Economic Studies Limited.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-937X.2008.00500.x
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Article provided by Blackwell Publishing in its journal Review of Economic Studies.

Volume (Year): 75 (2008)
Issue (Month): 4 (October)
Pages: 1069-1080
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Handle: RePEc:bla:restud:v:75:y:2008:i:4:p:1069-1080

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References listed on IDEAS
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  1. Brown, Bryan W & Walker, Mary Beth, 1989. "The Random Utility Hypothesis and Inference in Demand Systems," Econometrica, Econometric Society, vol. 57(4), pages 815-29, July. [Downloadable!] (restricted)
  2. Daniel McFadden & Kenneth Train, 2000. "Mixed MNL models for discrete response," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 447-470. [Downloadable!]
  3. Daniel McFadden, 2005. "Revealed stochastic preference: a synthesis," Economic Theory, Springer, vol. 26(2), pages 245-264, 08. [Downloadable!] (restricted)
  4. Rosa L. Matzkin, 2003. "Nonparametric Estimation of Nonadditive Random Functions," Econometrica, Econometric Society, vol. 71(5), pages 1339-1375, 09. [Downloadable!] (restricted)
  5. Arthur Lewbel, 2001. "Demand Systems with and without Errors," American Economic Review, American Economic Association, vol. 91(3), pages 611-618, June. [Downloadable!] (restricted)
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