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Invertibility of Nonparametric Stochastic Demand Functions

Author Info

Listed author(s):
  • Walter Beckert

    (Department of Economics, Mathematics & Statistics, Birkbeck)

  • Richard Blundell

Abstract

This paper considers structural nonparametric random utility models for continuous choice variables. It provides sufficient conditions on the structural model to yield reduced-form systems of nonparametric stochastic demand functions that constitute a global homeomorphism between demands and random utility components. Such homeomorphic relationships are essential for global identification of the structural model, the existence of well-specified probability models for choice variables and for the analysis of revealed stochastic preference.

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File URL: http://www.bbk.ac.uk/ems/research/wp/PDF/BWPEF0406.pdf
File Function: First version, 2004
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Paper provided by Birkbeck, Department of Economics, Mathematics & Statistics in its series Birkbeck Working Papers in Economics and Finance with number 0406.

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Date of creation: Nov 2004
Handle: RePEc:bbk:bbkefp:0406
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Keywords: nonparametric random utility model; stochastic demand; global homeomorphism; coherency;

Find related papers by JEL classification:

  • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
  • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
  • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
  • D1 - Microeconomics - - Household Behavior

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  1. Gourieroux, C & Laffont, J J & Monfort, A, 1980. "Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes," Econometrica, Econometric Society, vol. 48(3), pages 675-695, April.
  2. 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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Cited by:

  1. Arthur Lewbel & Krishna Pendakur, 2009. "Tricks with Hicks: The EASI Demand System," American Economic Review, American Economic Association, vol. 99(3), pages 827-863, June.
  2. Arthur Lewbel, 2006. "Modeling Heterogeneity," Boston College Working Papers in Economics 650, Boston College Department of Economics.
  3. Mette Lunde Christensen, 2002. "Heterogeneity in consumer demands and the income effect: evidence from panel data," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 C4-1, International Conferences on Panel Data.
  4. McAleer, Michael & Medeiros, Marcelo C. & Slottje, Daniel, 2008. "A neural network demand system with heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 147(2), pages 359-371, December.
  5. Dharmasena, Senarath & Capps, Oral, Jr., 2014. "U.S. Demand for Wellness and Functional Beverages and Implications on Nutritional Intake: An Application of EASI Demand System Capturing Diverse Preference Heterogeniety," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 169811, Agricultural and Applied Economics Association.

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