Journal Article

Heterogeneity and the Non-Parametric Analysis of Consumer Choice: Conditions for Invertibility

Walter Beckert and Richard Blundell

in The Review of Economic Studies

Published on behalf of Review of Economic Studies Ltd

Volume 75, issue 4, pages 1069-1080
Published in print October 2008 | ISSN: 0034-6527
Published online October 2008 | e-ISSN: 1467-937X | DOI: http://dx.doi.org/10.1111/j.1467-937X.2008.00500.x
Heterogeneity and the Non-Parametric Analysis of Consumer Choice: Conditions for Invertibility

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This paper considers structural non-parametric random utility models for continuous choice variables with unobserved heterogeneity. We provide sufficient conditions on random preferences to yield reduced-form systems of non-parametric stochastic demand functions that allow global invertibility between demands and non-separable unobserved heterogeneity. Invertibility is essential for global identification of structural consumer demand models, for the existence of well-specified probability models of choice and for the non-parametric analysis of revealed stochastic preference. We distinguish between new classes of models in which heterogeneity is separable and non-separable in the marginal rates of substitution, respectively.

Keywords: D11

Journal Article.  5575 words.  Illustrated.

Subjects: Household Behaviour and Family Economics

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