Arbeitspapier
Nonparametric analysis of random utility models: Testing
This paper develops and implements a nonparametric test of Random Utility Models (RUM) using only nonsatiation and the Strong Axiom of Revealed Preference (SARP) as restrictions on individual level behavior, allowing for fully unrestricted unobserved heterogeneity. The main application is the test of the null hypothesis that a sample of cross-sectional demand distributions was generated by a population of rational consumers. Thus, the paper provides a finite sample counterpart to the classic theoretical analysis of McFadden and Richter (1991). To do so, it overcomes challenges in computation and in asymptotic theory and provides an empirical application to the U.K. Household Expenditure Survey. An econometric result of independent interest is a test for inequality constraints when they are represented in terms of the rays of a cone rather than its faces.
- Language
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Englisch
- Bibliographic citation
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Series: cemmap working paper ; No. CWP36/13
- 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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2013
- DOI
-
doi:10.1920/wp.cem.2013.3613
- 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
- 2013
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