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Nonparametric Analysis of Random Utility Models

Yuichi Kitamura and Jörg Stoye

Papers from arXiv.org

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 rely on any restriction on 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 polyhedron rather than its faces. An empirical application to the U.K. Household Expenditure Survey illustrates computational feasibility of the method in demand problems with 5 goods.

New Economics Papers: this item is included in nep-upt
Date: 2016-06, Revised 2018-09
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http://arxiv.org/pdf/1606.04819 Latest version (application/pdf)

Related works:
Journal Article: Nonparametric Analysis of Random Utility Models (2018) Downloads
Working Paper: Nonparametric analysis of random utility models (2017) Downloads
Working Paper: Nonparametric analysis of random utility models (2016) Downloads
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