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

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  • Walter Beckert

    ()
    (Institute for Fiscal Studies and Birkbeck College London)

  • Richard Blundell

    ()
    (Institute for Fiscal Studies and University College London)

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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Bibliographic 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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Related research

Keywords: nonparametric random utility model; stochastic demand; global invertibility;

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References

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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. Arthur Lewbel, 2001. "Demand Systems with and without Errors," American Economic Review, American Economic Association, vol. 91(3), pages 611-618, June.
  3. Daniel McFadden, 2005. "Revealed stochastic preference: a synthesis," Economic Theory, Springer, vol. 26(2), pages 245-264, 08.
  4. 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.
  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. 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. Steven Berry & Amit Gandhi & Philip Haile, 2011. "Connected Substitutes and Invertibility of Demand," Cowles Foundation Discussion Papers 1806, Cowles Foundation for Research in Economics, Yale University.

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