Nonparametric Analysis of Random Utility Models

Yuichi Kitamura and Jörg Stoye

Econometrica, 2018, vol. 86, issue 6, 1883-1909

Abstract: 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 restrict 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 polyhedral cone rather than its faces. An empirical application to the U.K. Household Expenditure Survey illustrates computational feasibility of the method in demand problems with five goods.

Date: 2018
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Citations: View citations in EconPapers (51)

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https://doi.org/10.3982/ECTA14478

Related works:
Working Paper: Nonparametric Analysis of Random Utility Models (2018)
Working Paper: Nonparametric analysis of random utility models (2017)
Working Paper: Nonparametric analysis of random utility models (2017)
Working Paper: Nonparametric analysis of random utility models (2016)
Working Paper: Nonparametric analysis of random utility models (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:emetrp:v:86:y:2018:i:6:p:1883-1909

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