Bounding quantile demand functions using revealed preference inequalities

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract This paper develops a new technique for the estimation of consumer demand models with unobserved heterogeneity subject to revealed preference inequality restrictions. Particular attention is given to nonseparable heterogeneity. The inequality restrictions are used to identify bounds on quantile demand functions. A nonparametric estimator for these bounds is developed and asymptotic properties are derived. An empirical application using data from the U.K. Family Expenditure Survey illustrates the usefulness of the methods by deriving bounds and con…dence sets for estimated quantile demand functions. Terms of use: Documents in EconStor may JEL: C20, D12

Nonparametric Estimation of a Nonseparable Demand Function under the Slutsky Inequality Restriction

“…We show that Slutsky constrained nonparametric estimates reveal features of the demand function that are not present in simple parametric models. Where prices take only a few discrete values, a related approach is to impose the Afriat revealed preference inequalities (see Blundell, Kristensen, & Matzkin, 2014). Our method is quite different, directly using the Slutsky condition rather than the sequence of revealed preference inequalities that obtain in the discrete price case.…”

Demand analysis with partially observed prices

“…A related literature on stochastic discrete choice demand beginning with Block and Marschak (1960), Brown andWalker (1989), andMcFadden andRichter (1991) has spawned a large body of applied work in both empirical consumer demand and industrial organization (e.g., Berry, Levinsohn, and Pakes (1995)). More recently, several papers have attempted to marry the demand and revealed preference approaches, e.g., Blundell, Browning, and Crawford (2003, 2007, 2008, Hoderlein (2011), Kitamura and Stoye (2013), Blundell, Kristensen, and Matzkin (2014), and Hoderlein andStoye (2014, 2015).…”

“…Convexity of the support set is an important property both for describing bounds on demand responses and also making welfare comparisons (see, e.g., Blundell, Browning, and Crawford (2008) and Blundell et al (2014)). It is therefore useful that this property is preserved even under partially observed prices.…”

Nonparametric estimation of a heterogeneous demand function under the Slutsky inequality restriction

“…Our method can be thought of as a nonparametric analogue to this approach, where admissible candidate estimates are restricted to those satisfying these restrictions of consumer theory. Where prices take only a few discrete values an equivalent approach is to impose the Afriat revealed preference inequalities, see Blundell, Kristensen, and Matzkin (2011).…”