Testing revealed preference models with unobserved randomness: a column generation approach

Thomas Demuynck and Tom Potoms

No 2022-42, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: We present a computationally fast and simple algorithm to test structural revealedpreference models in the presence of unobserved randomness. Towards this end, weoperationalize insights from random set theory. We demonstrate the practical relevanceof our results by an application to the standard intertemporal consumption model withidiosyncratic income risks and an approximate expected utility model

Keywords: Partial identification, , , .; revealed preferences; column generation approach; random set theory (search for similar items in EconPapers)
JEL-codes: C50 C60 D15 (search for similar items in EconPapers)
Pages: 43 p.
Date: 2022-12
New Economics Papers: this item is included in nep-dcm and nep-upt
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