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Invertibility of Nonparametric Stochastic Demand Functions

Author

Listed:
  • 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.

Suggested Citation

  • Walter Beckert & Richard Blundell, 2004. "Invertibility of Nonparametric Stochastic Demand Functions," Birkbeck Working Papers in Economics and Finance 0406, Birkbeck, Department of Economics, Mathematics & Statistics.
    • Handle: RePEc:bbk:bbkefp:0406
    as

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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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    References listed on IDEAS

    as
    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, August.
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    Citations

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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. 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.
    3. 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.
    4. 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.
    5. Arthur Lewbel, 2006. "Modeling Heterogeneity," Boston College Working Papers in Economics 650, Boston College Department of Economics.

    More about this item

    Keywords

    nonparametric random utility model; stochastic demand; global homeomorphism; coherency;

    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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