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Heterogeneity and the nonparametric analysis of consumer choice: conditions for invertibility

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Author Info
Walter Beckert () (Institute for Fiscal Studies and Birkbeck College London)
Richard Blundell () (Institute for Fiscal Studies and University College London)

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Abstract

This paper considers structural nonparametric random utility models for continuous choice variables. It provides suffcient conditions on random preferences to yield reduced- form systems of nonparametric stochastic demand functions that allow global invertibility between demands and random utility components. Invertibility is essential for global identification of structural consumer demand models, for the existence of well-specified probability models of choice and for the nonparametric analysis of revealed stochastic preference.

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File URL: http://cemmap.ifs.org.uk/wps/cwp0905.pdf
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Publisher Info
Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP09/05.

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Length: 16 pp.
Date of creation: Jul 2005
Date of revision:
Handle: RePEc:ifs:cemmap:09/05

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Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
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Related research
Keywords: nonparametric random utility model stochastic demand global invertibility

Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
D1 - Microeconomics - - Household Behavior

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  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. Rosa L. Matzkin, 2003. "Nonparametric Estimation of Nonadditive Random Functions," Econometrica, Econometric Society, vol. 71(5), pages 1339-1375, 09. [Downloadable!] (restricted)
  4. 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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