Arbeitspapier
Nonparametric analysis of random utility models
This paper develops and implements a nonparametric test of Random Utility Models. The motivating application is to test the null hypothesis that a sample of cross-sectional demand distributions was generated by a population of rational consumers. We test a necessary and sufficient condition for this that does not rely on any restriction on unobserved heterogeneity or the number of goods. We also propose and implement a control function approach to account for endogenous expenditure. An econometric result of independent interest is a test for linear inequality constraints when these are represented as the vertices of a polyhedron rather than its faces. An empirical application to the U.K. Household Expenditure Survey illustrates computational feasibility of the method in demand problems with 5 goods.
- Language
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Englisch
- Bibliographic citation
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Series: cemmap working paper ; No. CWP27/16
- Classification
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Wirtschaft
Semiparametric and Nonparametric Methods: General
- Subject
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Stochastic Rationality
- Event
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Geistige Schöpfung
- (who)
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Kitamura, Yuichi
Stoye, Jörg
- Event
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Veröffentlichung
- (who)
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Centre for Microdata Methods and Practice (cemmap)
- (where)
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London
- (when)
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2016
- DOI
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doi:10.1920/wp.cem.2016.2716
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kitamura, Yuichi
- Stoye, Jörg
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2016
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