Estimation of Nonparametric Functions in Simultaneous Equations Models, with an Application to Consumer Demand

Donald Brown () and Rosa L. Matzkin
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Rosa L. Matzkin: Northwestern University

No 1175, Cowles Foundation Discussion Papers from Cowles Foundation, Yale University

Abstract: 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: 1998-03
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