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

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  • Walter Beckert
  • Richard Blundell

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, Wiley-Blackwell.

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File URL: http://hdl.handle.net/10.1111/j.1467-937X.2008.00500.x
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Bibliographic Info

Article provided by Oxford University Press in its journal The Review of Economic Studies.

Volume (Year): 75 (2008)
Issue (Month): 4 ()
Pages: 1069-1080

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Handle: RePEc:oup:restud:v:75:y:2008:i:4:p:1069-1080

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  1. Rosa L. Matzkin, 1999. "Nonparametric Estimation of Nonadditive Random Functions," Working Papers 38, Universidad de San Andres, Departamento de Economia, revised Sep 2001.
  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.
  3. Daniel McFadden, 2005. "Revealed stochastic preference: a synthesis," Economic Theory, Springer, vol. 26(2), pages 245-264, 08.
  4. Arthur Lewbel, 2001. "Demand Systems with and without Errors," American Economic Review, American Economic Association, vol. 91(3), pages 611-618, June.
  5. 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.
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Cited by:
  1. Steven Berry & Amit Gandhi & Philip A. Haile, 2012. "Connected Substitutes and Invertibility of Demand," Levine's Working Paper Archive 786969000000000545, David K. Levine.

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