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Invertibility of Nonparametric Stochastic Demand Functions

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  • Walter Beckert

    (Department of Economics, Mathematics & Statistics, Birkbeck)

  • Richard Blundell

Abstract

This paper considers structural nonparametric random utility models for continuous choice variables. It provides sufficient conditions on the structural model to yield reduced-form systems of nonparametric stochastic demand functions that constitute a global homeomorphism between demands and random utility components. Such homeomorphic relationships are essential for global identification of the structural model, the existence of well-specified probability models for choice variables and for the analysis of revealed stochastic preference.

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File URL: http://www.bbk.ac.uk/ems/research/wp/PDF/BWPEF0406.pdf
File Function: First version, 2004
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Bibliographic Info

Paper provided by Birkbeck, Department of Economics, Mathematics & Statistics in its series Birkbeck Working Papers in Economics and Finance with number 0406.

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Date of creation: Nov 2004
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Handle: RePEc:bbk:bbkefp:0406

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Keywords: nonparametric random utility model; stochastic demand; global homeomorphism; coherency;

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  1. Daniel McFadden, 2005. "Revealed stochastic preference: a synthesis," Economic Theory, Springer, vol. 26(2), pages 245-264, 08.
  2. Gourieroux, C & Laffont, J J & Monfort, A, 1980. "Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes," Econometrica, Econometric Society, vol. 48(3), pages 675-95, April.
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Cited by:
  1. Arthur Lewbel, 2006. "Modeling Heterogeneity," Boston College Working Papers in Economics 650, Boston College Department of Economics.
  2. Arthur Lewbel & Krishna Pendakur, 2006. "Tricks With Hicks: The EASI Demand System," Boston College Working Papers in Economics 651, Boston College Department of Economics, revised 26 Nov 2008.
  3. Mette Christensen, 2007. "Heterogeneity in consumer demands and the income effect: evidence from panel data," IFS Working Papers W07/16, Institute for Fiscal Studies.
  4. McAleer, Michael & Medeiros, Marcelo C. & Slottje, Daniel, 2008. "A neural network demand system with heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 147(2), pages 359-371, December.

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