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Methods for testing the random utility model

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  • Forcina, Antonio
  • Dardanoni, Valentino

Abstract

The Random Utility Model, central in stochastic choice theory, is equivalent to assume that a probability vector belongs to a convex cone. We investigate its underlying geometry, introduce two new testing procedures, and compare them by simulation.

Suggested Citation

  • Forcina, Antonio & Dardanoni, Valentino, 2024. "Methods for testing the random utility model," Statistics & Probability Letters, Elsevier, vol. 215(C).
    • Handle: RePEc:eee:stapro:v:215:y:2024:i:c:s0167715224001998
    DOI: 10.1016/j.spl.2024.110230
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    References listed on IDEAS

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    1. Charalambos D. Aliprantis & Rosa L. Matzkin & Daniel L. McFadden & James C. Moore & Nicholas C. Yann (ed.), 2006. "Rationality and Equilibrium," Studies in Economic Theory, Springer, number 978-3-540-29578-5, December.
    2. William J McCausland & Clintin Davis-Stober & AAJ Marley & Sanghyuk Park & Nicholas Brown, 2020. "Testing the Random Utility Hypothesis Directly," The Economic Journal, Royal Economic Society, vol. 130(625), pages 183-207.
    3. Matias D. Cattaneo & Xinwei Ma & Yusufcan Masatlioglu & Elchin Suleymanov, 2020. "A Random Attention Model," Journal of Political Economy, University of Chicago Press, vol. 128(7), pages 2796-2836.
    4. Evans, R.J. & Forcina, A., 2013. "Two algorithms for fitting constrained marginal models," Computational Statistics & Data Analysis, Elsevier, vol. 66(C), pages 1-7.
    5. Donald W. K. Andrews & Gustavo Soares, 2010. "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection," Econometrica, Econometric Society, vol. 78(1), pages 119-157, January.
    6. Daniel L. McFadden, 2006. "Revealed stochastic preference: a synthesis," Studies in Economic Theory, in: Charalambos D. Aliprantis & Rosa L. Matzkin & Daniel L. McFadden & James C. Moore & Nicholas C. Yann (ed.), Rationality and Equilibrium, pages 1-20, Springer.
    7. Yuichi Kitamura & Jörg Stoye, 2018. "Nonparametric Analysis of Random Utility Models," Econometrica, Econometric Society, vol. 86(6), pages 1883-1909, November.
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