Heterogeneity and the nonparametric analysis of consumer choice: conditions for invertibility
This paper considers structural nonparametric random utility models for continuous choice variables. It provides suffcient conditions on random preferences to yield reduced- form systems of nonparametric stochastic demand functions that allow global invertibility between demands and random utility components. Invertibility is essential for global identification of structural consumer demand models, for the existence of well-specified probability models of choice and for the nonparametric analysis of revealed stochastic preference.
|Date of creation:||Jul 2005|
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- 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.
- Rosa L. Matzkin, 1999.
"Nonparametric Estimation of Nonadditive Random Functions,"
38, Universidad de San Andres, Departamento de Economia, revised Sep 2001.
- Rosa L. Matzkin, 2003. "Nonparametric Estimation of Nonadditive Random Functions," Econometrica, Econometric Society, vol. 71(5), pages 1339-1375, 09.
- Daniel McFadden, 2005. "Revealed stochastic preference: a synthesis," Economic Theory, Springer, vol. 26(2), pages 245-264, 08.
- Arthur Lewbel, 2001. "Demand Systems with and without Errors," American Economic Review, American Economic Association, vol. 91(3), pages 611-618, June.
- Brown, Bryan W & Walker, Mary Beth, 1989. "The Random Utility Hypothesis and Inference in Demand Systems," Econometrica, Econometric Society, vol. 57(4), pages 815-29, July.
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