IDEAS home Printed from https://ideas.repec.org/p/cwl/cwldpp/1175.html
   My bibliography  Save this paper

Estimation of Nonparametric Functions in Simultaneous Equations Models, with an Application to Consumer Demand

Author

Abstract

We present a method for consistently estimating nonparametric functions and distributions in simultaneous equations models. This method is used to identify and estimate a random utility model of consumer demand. Our identification conditions for this particular model extend the results of Houthakker (1950), Uzawa (1971) and Mas-Colell (1977), where a deterministic utility function is uniquely recovered from its deterministic demand function.

Suggested Citation

  • Donald J. Brown & Rosa L. Matzkin, 1998. "Estimation of Nonparametric Functions in Simultaneous Equations Models, with an Application to Consumer Demand," Cowles Foundation Discussion Papers 1175, Cowles Foundation for Research in Economics, Yale University.
    • Handle: RePEc:cwl:cwldpp:1175
    as

    Download full text from publisher

    File URL: https://cowles.yale.edu/sites/default/files/files/pub/d11/d1175.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Mas-Colell, Andreu, 1977. "The Recoverability of Consumers' Preferences from Market Demand Behavior," Econometrica, Econometric Society, vol. 45(6), pages 1409-1430, September.
    2. Brown, Bryan W, 1983. "The Identification Problem in Systems Nonlinear in the Variables," Econometrica, Econometric Society, vol. 51(1), pages 175-196, January.
    3. McElroy, Marjorie B, 1987. "Additive General Error Models for Production, Cost, and Derived Demand or Share Systems," Journal of Political Economy, University of Chicago Press, vol. 95(4), pages 737-757, August.
    4. Foster, Andrew & Hahn, Jinyong, 2000. "A consistent semiparametric estimation of the consumer surplus distribution," Economics Letters, Elsevier, vol. 69(3), pages 245-251, December.
    5. Roehrig, Charles S, 1988. "Conditions for Identification in Nonparametric and Parametic Models," Econometrica, Econometric Society, vol. 56(2), pages 433-447, March.
    6. Manski, Charles F, 1983. "Closest Empirical Distribution Estimation," Econometrica, Econometric Society, vol. 51(2), pages 305-319, March.
    7. Brown, Bryan W & Walker, Mary Beth, 1989. "The Random Utility Hypothesis and Inference in Demand Systems," Econometrica, Econometric Society, vol. 57(4), pages 815-829, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Blundell, Richard & Kristensen, Dennis & Matzkin, Rosa, 2014. "Bounding quantile demand functions using revealed preference inequalities," Journal of Econometrics, Elsevier, vol. 179(2), pages 112-127.
    2. Rosa L. Matzkin, 2003. "Nonparametric Estimation of Nonadditive Random Functions," Econometrica, Econometric Society, vol. 71(5), pages 1339-1375, September.
    3. Hubner, Stefan, 2016. "Topics in nonparametric identification and estimation," Other publications TiSEM 08fce56b-3193-46e0-871b-0, Tilburg University, School of Economics and Management.
    4. Rosa L. Matzkin & James Heckman & Lars Nesheim, 2002. "Nonparametric Estimation and Nonadditive Hedonic Models," Working Papers 51, Universidad de San Andres, Departamento de Economia, revised Jun 2002.
    5. Fève, Frédérique & Fève, Patrick & Florens, Jean-Pierre, 2002. "Attribute Choices and Structural Econometrics of Price Elasticity of Demand," IDEI Working Papers 155, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2003.
    6. George Halkos & Kyriaki Tsilika, 2015. "Programming Identification Criteria in Simultaneous Equation Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 157-170, June.
    7. Brown, Bryan W. & Walker, Mary Beth, 1995. "Stochastic specification in random production models of cost-minimizing firms," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 175-205.
    8. Matzkin, Rosa L., 2012. "Identification in nonparametric limited dependent variable models with simultaneity and unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 166(1), pages 106-115.
    9. Bhattacharyya, Aditi & Kutlu, Levent & Sickles, Robin C., 2018. "Pricing Inputs and Outputs: Market prices versus shadow prices, market power, and welfare analysis," Working Papers 18-009, Rice University, Department of Economics.
    10. Steven T. Berry & Philip A. Haile, 2018. "Identification of Nonparametric Simultaneous Equations Models With a Residual Index Structure," Econometrica, Econometric Society, vol. 86(1), pages 289-315, January.
    11. Andrew Chesher, 2004. "Identification of sensitivity to variation in endogenous variables," CeMMAP working papers 10/04, Institute for Fiscal Studies.
    12. Arthur Lewbel & Serena Ng, 2005. "Demand Systems with Nonstationary Prices," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 479-494, August.
    13. Marc Ivaldi & Michel Simioni, 1992. "Système de régressions empilées et panel incomplet : un tour d'horizon," Économie et Prévision, Programme National Persée, vol. 105(4), pages 97-107.
    14. Steven T. Berry & Philip A. Haile, 2014. "Identification in Differentiated Products Markets Using Market Level Data," Econometrica, Econometric Society, vol. 82, pages 1749-1797, September.
    15. Giovanni Forchini, 2014. "A General Result on Observational Equivalence in a Class of Nonparametric Structural Equations Models," School of Economics Discussion Papers 0114, School of Economics, University of Surrey.
    16. Timo Dimitriadis & Tobias Fissler & Johanna Ziegel, 2022. "Characterizing M-estimators," Papers 2208.08108, arXiv.org.
    17. Devin Garcia & Levent Kutlu & Robin C. Sickles, 2022. "Market Structures in Production Economics," Springer Books, in: Subhash C. Ray & Robert G. Chambers & Subal C. Kumbhakar (ed.), Handbook of Production Economics, chapter 13, pages 537-574, Springer.
    18. Fry, Jane M. & Fry, Tim R. L. & McLaren, Keith R., 1996. "The stochastic specification of demand share equations: Restricting budget shares to the unit simplex," Journal of Econometrics, Elsevier, vol. 73(2), pages 377-385, August.
    19. Richard W. Blundell & Martin Browning & Ian A. Crawford, 2003. "Nonparametric Engel Curves and Revealed Preference," Econometrica, Econometric Society, vol. 71(1), pages 205-240, January.
    20. Ivana Komunjer & Andres Santos, 2010. "Semi-parametric estimation of non-separable models: a minimum distance from independence approach," Econometrics Journal, Royal Economic Society, vol. 13(3), pages 28-55, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:1175. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Brittany Ladd (email available below). General contact details of provider: https://edirc.repec.org/data/cowleus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.