Nonparametric Analysis of Random Utility Models

• 成果类型: Article
• 署名作者: Kitamura, Yuichi; Stoye, Jorg
• 署名单位: Yale University; Cornell University; University of Bonn; University of Bonn
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA14478
• 发表日期: 2018
• 页码: 1883-1909
• 关键词: Revealed preference; inequality constraints; confidence-intervals; inference; identification; parameters; bounds; consumers; tests; sets

摘要

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.