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

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  • Thomas Demuynck
  • Tom Potoms

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

Suggested Citation

  • Thomas Demuynck & Tom Potoms, 2022. "Testing revealed preference models with unobserved randomness: a column generation approach," Working Papers ECARES 2022-42, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:eca:wpaper:2013/352866
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    More about this item

    Keywords

    Partial identification; ; ; .; revealed preferences; column generation approach; random set theory;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • D15 - Microeconomics - - Household Behavior - - - Intertemporal Household Choice; Life Cycle Models and Saving

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