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The Identification Of Preferences From Market Data Under Uncertainty

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  • Andrés Carvajal
  • Alvaro Riascos

Abstract

We show that even under incomplete markets, the equilibrium manifold identifies aggregate demand and individual demands everywhere in their domains. Moreover, under partial observation of the equilibrium manifold, we we construct maximal domains of identification. For this, we assume conditions of smoothness, interiority and regularity, but avoid implausible observational requirements. It is crucial that there be date-zero consumption. As a by-product, we develop some duality theory under incomplete markets.

Suggested Citation

  • Andrés Carvajal & Alvaro Riascos, 2005. "The Identification Of Preferences From Market Data Under Uncertainty," Documentos CEDE 3599, Universidad de los Andes, Facultad de Economía, CEDE.
    • Handle: RePEc:col:000089:003599
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    File URL: https://repositorio.uniandes.edu.co/bitstream/handle/1992/7955/dcede2005-48.pdf
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    1. P.A. Chiappori & I. Ekeland & F. Kubler & H.M. Polemarchakis, 2002. "Testable Implications of General Equilibrium Theory: a differentiable approach," Working Papers 2002-10, Brown University, Department of Economics.
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    5. Rosa L. Matzkin, 2006. "Identification of consumers’ preferences when their choices are unobservable," 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 195-215, Springer.
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    13. Arthur Lewbel, 2003. "A rational rank four demand system," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(2), pages 127-135.
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    15. repec:dau:papers:123456789/13505 is not listed on IDEAS
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    Cited by:

    1. Dranev Yury & Maxim Babushkin, 2014. "Asymmetric exchange-rate exposure in BRIC countries," HSE Working papers WP BRP 27/FE/2014, National Research University Higher School of Economics.
    2. Carvajal, Andres & Polemarchakis, H.M., 2008. "Identification of Pareto-improving policies: Information as the real invisible hand," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 167-179, January.

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    Keywords

    Identification;

    JEL classification:

    • D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General

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