Testing expected utility maximization under price and quantity risk with a heterogeneous panel

Yucan Liu and C. Shumway

Applied Economics, 2009, vol. 41, issue 9, 1105-1119

Abstract: Refutable implications based on the curvature properties of the indirect utility function for the competitive firm operating under uncertainty are extended to the case of both price and quantity uncertainty. Using unit roots and cointegration tests for heterogeneous panels, a model of US agricultural production is developed based on the time-series properties of a panel of state-level data. Most refutable hypotheses under output price and output quantity risk are not rejected, but symmetry conditions implied by a twice-continuously-differentiable indirect utility function are rejected. The same test conclusions are obtained from a traditional model that presumes stationarity in all variables.

Date: 2009
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/00036840601019166 (text/html)
Access to full text is restricted to subscribers.

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:taf:applec:v:41:y:2009:i:9:p:1105-1119

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036840601019166

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().