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Nonparametric Analysis of Random Utility Models: Testing

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  • Stoye, Jörg
  • Kitamura, Yuichi

Abstract

This paper aims at formulating econometric tools for investigating stochastic rationality, using the Random Utility Models (RUM) to deal with unobserved heterogeneity nonparametrically. Theoretical implications of the RUM have been studied in the literature, and in particular this paper utilizes the axiomatic treatment by McFadden and Richter (McFadden and Richter, 1991, McFadden, 2005). A set of econometric methods to test stochastic rationality given a cross-sectional data is developed. This also provides means to conduct policy analysis with minimal assumptions. In terms of econometric methodology, it offers a procedure to deal with nonstandard features implied by inequality restrictions. This might be of interest on its own right, both theoretically and practically. --

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Paper provided by Verein für Socialpolitik / German Economic Association in its series Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order with number 79753.

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Date of creation: 2013
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Handle: RePEc:zbw:vfsc13:79753

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  1. Federico A. Bugni, 2010. "Bootstrap Inference in Partially Identified Models Defined by Moment Inequalities: Coverage of the Identified Set," Econometrica, Econometric Society, Econometric Society, vol. 78(2), pages 735-753, 03.
  2. Jörg Stoye, 2010. "Partial identification of spread parameters," Quantitative Economics, Econometric Society, Econometric Society, vol. 1(2), pages 323-357, November.
  3. Victor Chernozhukov & Han Hong & Elie Tamer, 2007. "Estimation and Confidence Regions for Parameter Sets in Econometric Models," Econometrica, Econometric Society, Econometric Society, vol. 75(5), pages 1243-1284, 09.
  4. Daniel McFadden, 2005. "Revealed stochastic preference: a synthesis," Economic Theory, Springer, Springer, vol. 26(2), pages 245-264, 08.
  5. Gourieroux, Christian & Holly, Alberto & Monfort, Alain, 1982. "Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters," Econometrica, Econometric Society, Econometric Society, vol. 50(1), pages 63-80, January.
  6. Wolak, Frank A, 1991. "The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models," Econometrica, Econometric Society, Econometric Society, vol. 59(4), pages 981-95, July.
  7. Laurens Cherchye & Ian Crawford & Bram De Rock & Frederic Vermeulen, 2009. "The revealed preference approach to demand," ULB Institutional Repository 2013/132522, ULB -- Universite Libre de Bruxelles.
  8. Blundell, R. & Browning, M. & Cherchye, L.J.H. & Crawford, I. & Rock, B. de & Vermeulen, F.M.P., 2012. "Sharp for SARP: Nonparametric Bounds on the Behavioural and Welfare Effects of Price Changes," Discussion Paper, Tilburg University, Center for Economic Research 2012-065, Tilburg University, Center for Economic Research.
  9. Varian, Hal R, 1982. "The Nonparametric Approach to Demand Analysis," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 945-73, July.
  10. Stefan Hoderlein, 2009. "How many consumers are rational?," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP32/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  11. Arthur Lewbel, 2001. "Demand Systems with and without Errors," American Economic Review, American Economic Association, American Economic Association, vol. 91(3), pages 611-618, June.
  12. Stefan Hoderlein & Jörg Stoye, 2009. "Revealed Preferences in a Heterogeneous Population," Boston College Working Papers in Economics, Boston College Department of Economics 745, Boston College Department of Economics.
  13. Itai Sher & Jeremy T. Fox & Kyoo il Kim & Patrick Bajari, 2011. "Partial Identification of Heterogeneity in Preference Orderings Over Discrete Choices," NBER Working Papers 17346, National Bureau of Economic Research, Inc.
  14. Federico Echenique & Sangmok Lee & Matthew Shum, 2011. "The Money Pump as a Measure of Revealed Preference Violations," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 119(6), pages 1201 - 1223.
  15. Epstein, Larry G. & Yatchew, Adonis J., 1985. "Non-parametric hypothesis testing procedures and applications to demand analysis," Journal of Econometrics, Elsevier, Elsevier, vol. 30(1-2), pages 149-169.
  16. Fishburn, Peter C., 1992. "Induced binary probabilities and the linear ordering polytope: a status report," Mathematical Social Sciences, Elsevier, Elsevier, vol. 23(1), pages 67-80, February.
  17. Jorg Stoye, 2009. "More on Confidence Intervals for Partially Identified Parameters," Econometrica, Econometric Society, Econometric Society, vol. 77(4), pages 1299-1315, 07.
  18. Canay, Ivan A., 2010. "EL inference for partially identified models: Large deviations optimality and bootstrap validity," Journal of Econometrics, Elsevier, Elsevier, vol. 156(2), pages 408-425, June.
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Cited by:
  1. Jerry Hausman & Whitney Newey, 2013. "Individual heterogeneity and average welfare," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP34/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Sokbae Lee & Kyungchul Song & Yoon-Jae Whang, 2014. "Testing For A General Class Of Functional Inequalities," KIER Working Papers, Kyoto University, Institute of Economic Research 889, Kyoto University, Institute of Economic Research.
  3. Laurens Cherchye & Thomas Demuynck & Bram De Rock & Frederic Vermeulen, 2014. "Household Consumption When the Marriage is Stable," Working Papers ECARES, ULB -- Universite Libre de Bruxelles ECARES 2014-21, ULB -- Universite Libre de Bruxelles.
  4. Federico Bugni & Ivan Canay & Xiaoxia Shi, 2013. "Specification for Partially Identified Models defined by Moment Inequalities," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP01/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

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