Non-parametric estimation of exact consumer surplus with endogeneity in price

Anne Vanhems ()

Econometrics Journal, 2010, vol. 13, issue 3, S80-S98

Abstract: This paper analyses a structural microeconomic relation describing the exact consumer surplus in a non-parametric setting with endogenous prices. The exact consumer surplus can be characterized as the solution of a differential equation involving the observed demand function. The strategy put forward in this paper involves two steps: first, estimate the demand function with endogeneity using non-parametric IV, second, plug this estimator into the differential equation to estimate the exact consumer surplus. The rate of convergence for this estimator is derived and is shown to be faster than the rate for the underlying non-parametric IV regression estimator. Solving the differential equation smooths the demand estimator and leads to a faster rate of convergence. The implementation of the methodology is illustrated through a simulation study. Copyright (C) 2010 The Author(s). The Econometrics Journal (C) 2010 Royal Economic Society

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (8)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:13:y:2010:i:3:p:s80-s98

Ordering information: This journal article can be ordered from
http://www.ectj.org

Access Statistics for this article

Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms

More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().