Heterogeneity and the Non-Parametric Analysis of Consumer Choice: Conditions for Invertibility
This paper considers structural non-parametric random utility models for continuous choice variables with unobserved heterogeneity. We provide sufficient conditions on random preferences to yield reduced-form systems of non-parametric stochastic demand functions that allow global invertibility between demands and non-separable unobserved heterogeneity. Invertibility is essential for global identification of structural consumer demand models, for the existence of well-specified probability models of choice and for the non-parametric analysis of revealed stochastic preference. We distinguish between new classes of models in which heterogeneity is separable and non-separable in the marginal rates of substitution, respectively. Copyright 2008, Wiley-Blackwell.
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Volume (Year): 75 (2008)
Issue (Month): 4 ()
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- Rosa L. Matzkin, 2003.
"Nonparametric Estimation of Nonadditive Random Functions,"
Econometric Society, vol. 71(5), pages 1339-1375, 09.
- Rosa L. Matzkin, 1999. "Nonparametric Estimation of Nonadditive Random Functions," Working Papers 38, Universidad de San Andres, Departamento de Economia, revised Sep 2001.
- Brown, Bryan W & Walker, Mary Beth, 1989. "The Random Utility Hypothesis and Inference in Demand Systems," Econometrica, Econometric Society, vol. 57(4), pages 815-829, July.
- 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.
- Arthur Lewbel, 2001. "Demand Systems with and without Errors," American Economic Review, American Economic Association, vol. 91(3), pages 611-618, June.
- Daniel McFadden, 2005. "Revealed stochastic preference: a synthesis," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 26(2), pages 245-264, 08.
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