Nonparametric analysis of random utility models

Yuichi Kitamura () and Jörg Stoye
Additional contact information
Yuichi Kitamura: Institute for Fiscal Studies and Yale University

No CWP27/16, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

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 sucient 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.

JEL-codes: C14 (search for similar items in EconPapers)
Date: 2016-06-14
New Economics Papers: this item is included in nep-ecm and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.ifs.org.uk/uploads/cemmap/wps/cwp271616.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.ifs.org.uk/uploads/cemmap/wps/cwp271616.pdf [301 Moved Permanently]--> https://www.ifs.org.uk/uploads/cemmap/wps/cwp271616.pdf [302 Found]--> https://ifs.org.uk/uploads/cemmap/wps/cwp271616.pdf)

Related works:
Journal Article: Nonparametric Analysis of Random Utility Models (2018)
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)
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:ifs:cemmap:27/16

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().