Estimation of Nonparametric Functions in Simultaneous Equations Models, with an Application to Consumer Demand
We present a method for consistently estimating nonparametric functions and distributions in simultaneous equations models. This method is used to identify and estimate a random utility model of consumer demand. Our identification conditions for this particular model extend the results of Houthakker (1950), Uzawa (1971) and Mas-Colell (1977), where a deterministic utility function is uniquely recovered from its deterministic demand function.
|Date of creation:||Mar 1998|
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- Roehrig, Charles S, 1988. "Conditions for Identification in Nonparametric and Parametic Models," Econometrica, Econometric Society, vol. 56(2), pages 433-447, March.
- Manski, Charles F, 1983. "Closest Empirical Distribution Estimation," Econometrica, Econometric Society, vol. 51(2), pages 305-319, March.
- Mas-Colell, Andreu, 1977. "The Recoverability of Consumers' Preferences from Market Demand Behavior," Econometrica, Econometric Society, vol. 45(6), pages 1409-1430, September.
- Brown, Bryan W, 1983. "The Identification Problem in Systems Nonlinear in the Variables," Econometrica, Econometric Society, vol. 51(1), pages 175-196, January.
- 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.
- McElroy, Marjorie B, 1987. "Additive General Error Models for Production, Cost, and Derived Demand or Share Systems," Journal of Political Economy, University of Chicago Press, vol. 95(4), pages 737-757, August.
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