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Specification and Identification of Stochastic Demand Models

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Author Info

  • Walter Beckert

Abstract

This paper is concerned with stochastic demand systems for continuous choices that arise from structural random utility models. It examines under which nonparametric conditions on the structural random utility specification the implied reduced form model is nonsingular and invertible. For parametric members within this class of random utility models, the paper provides conditions for local identification from the reduced form under moment assumptions.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/07474930701653719
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 26 (2007)
Issue (Month): 6 ()
Pages: 669-683

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Handle: RePEc:taf:emetrv:v:26:y:2007:i:6:p:669-683

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Related research

Keywords: Invertibility; Local identification; Random utility; Stochastic demand;

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Cited by:
  1. Blundell, Richard & Kristensen, Dennis & Matzkin, Rosa, 2014. "Bounding quantile demand functions using revealed preference inequalities," Journal of Econometrics, Elsevier, vol. 179(2), pages 112-127.
  2. Mogens Fosgerau, 2004. "Investigating the distribution of the value of travel time savings," Urban/Regional 0411006, EconWPA.
  3. Mette Lunde Christensen, 2002. "Heterogeneity in consumer demands and the income effect: evidence from panel data," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 C4-1, International Conferences on Panel Data.

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