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153
Heterogeneity and the nonparametric analysis of consumer choice: conditions for invertibility”, cemmap Working Papers
, 2005
"... This paper considers structural nonparametric random utility models for continuous choice variables with unobserved heterogeneity. We provide sufficient conditions on random preferences to yield reducedform systems of nonparametric stochastic demand functions that allow global invertibility betwe ..."
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Cited by 12 (3 self)
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This paper considers structural nonparametric random utility models for continuous choice variables with unobserved heterogeneity. We provide sufficient conditions on random preferences to yield reducedform systems of nonparametric stochastic demand functions that allow global invertibility between demands and nonseparable unobserved heterogeneity. We distinguish between new classes of models in which heterogeneity is separable and nonseparable in the marginal rates of substitution, respectively. Invertibility is essential for global identification of structural consumer demand models, for the existence of wellspecified probability models of choice and for the nonparametric analysis of revealed stochastic preference.
Efficient intrahousehold allocations and distribution factors: implications and identification
, 2008
"... ..."
Identification in Nonparametric Limited Dependent Variable Models with Simultaneity and Unobserved Heterogeneity”.
 Journal of Econometrics,
, 2012
"... Abstract We extend the identification results for nonparametric simultaneous equations models in ..."
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Cited by 11 (3 self)
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Abstract We extend the identification results for nonparametric simultaneous equations models in
How revealing is revealed preference
 European Economic Journal
, 2005
"... This paper addresses the following two key criticisms of the empirical application of revealed preference theory: When it does not reject, it doesn’t provide precise predictions; and when it does reject, it doesn’t help us characterise the nature of irrationality or the degree/direction of changing ..."
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Cited by 10 (2 self)
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This paper addresses the following two key criticisms of the empirical application of revealed preference theory: When it does not reject, it doesn’t provide precise predictions; and when it does reject, it doesn’t help us characterise the nature of irrationality or the degree/direction of changing tastes. Recent developments in the application of RP theory are shown to have rendered these criticisms unfounded. A powerful test of rationality is available that also provides a natural characterisation of changing tastes. Tight bounds on demand responses and on the welfare costs of relative price and tax changes are also available and are shown to work well in practice. This review paper is based on the results of joint research with Martin Browning and Ian
PairwiseDifference Estimation of a Dynamic Optimization Model
, 2007
"... We develop a new estimation methodology for a dynamic optimization model with unobserved shocks. We propose a pairwisedifference approach which exploits two common features of the dynamic optimization problem we consider: (1) the monotonicity of the agent’s decision (policy) function in the shocks, ..."
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Cited by 10 (3 self)
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We develop a new estimation methodology for a dynamic optimization model with unobserved shocks. We propose a pairwisedifference approach which exploits two common features of the dynamic optimization problem we consider: (1) the monotonicity of the agent’s decision (policy) function in the shocks, conditional on the observed state variables; and (2) the statecontingent nature of optimal decisionmaking which implies that, conditional on the observed state variables, the variation in observed choices across agents must be due to randomness in the shocks across agents. We illustrate our procedure by estimating a dynamic trading model for the milk production quota market in Ontario, Canada.
Unobserved Heterogeneity and Reserve Prices in Auctions,” Working Paper.
, 2009
"... Abstract This article shows how reserve prices can be used to control for unobserved object heterogeneity to identify and estimate the distribution of bidder values in auctions. Reserve prices are assumed to be monotonic in the realization of unobserved heterogeneity, but not necessarily set optima ..."
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Cited by 10 (2 self)
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Abstract This article shows how reserve prices can be used to control for unobserved object heterogeneity to identify and estimate the distribution of bidder values in auctions. Reserve prices are assumed to be monotonic in the realization of unobserved heterogeneity, but not necessarily set optimally. The model is estimated using transaction prices from a used car auction platform to show that the platform enables sellers to capture a large fraction of the potential value from selling their vehicle. Individual sellers benefit mostly from access to a large set of buyers, but the magnitude depends on accounting for unobserved heterogeneity. JEL CODES: D44, L20, L62
Identification and Nonparametric Estimation of a Transformed Additively Separable Model
, 2005
"... Let r (x, z) be a function that can be identified nonparametrically. This paper discuss identification and consistent estimation of the unknown functions H, M, G and F, where r (x, z) = H [M (x, z)] and M (x, z) = G (x) + F (z). When r (x, z) represents a conditional mean function, the centered, ..."
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Cited by 9 (3 self)
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Let r (x, z) be a function that can be identified nonparametrically. This paper discuss identification and consistent estimation of the unknown functions H, M, G and F, where r (x, z) = H [M (x, z)] and M (x, z) = G (x) + F (z). When r (x, z) represents a conditional mean function, the centered, normalized estimators of the model’s unknown functions use marginal integration and are shown to have a limiting Normal distribution with a faster rate of convergence with respect to a fully unrestricted nonparametric regression. The small sample performance of the proposed estimators is studied in a small Monte Carlo experiment. We then implement our proposed procedure in order to nonparametrically identify, estimate and test generalized homothetic specifications for production functions in four different industries in the Chinese economy for two time periods.
Conditional Moment Restrictions and Triangular
, 2008
"... We examine whether a causal interpretation can be given to the function identified by the conditional moment restriction (CMR). It is shown that in a general nonseparable triangular system the CMR does not identify the average structural function (ASF) nor any other structural object. This implies t ..."
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Cited by 9 (0 self)
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We examine whether a causal interpretation can be given to the function identified by the conditional moment restriction (CMR). It is shown that in a general nonseparable triangular system the CMR does not identify the average structural function (ASF) nor any other structural object. This implies that the CMR identifies a causal relation only if the model is structurally separable in observable covariates and unobservable random errors. This excludes for instance random coefficient models in which the CMR in general does not identify the average response. Because we discuss identification by CMR in a general nonseparable triangular system, we provide a condition under which this system is nonparametrically just identified from the population distribution of the observables, so that under this condition there is a onetoone correspondence between the population distribution of the observables and the triangular nonseparable system. An implication of our results is that empirical researchers should use other methods than CMR if they want to estimate the average response in a random coefficient model. 1
Single equation endogenous binary response models
, 2009
"... Abstract. This paper studies single equation models for binary outcomes incorporating instrumental variable restrictions. The models are incomplete in the sense that they place no restriction on the way in which values of endogenous variables are generated. The models are set, not point, identifying ..."
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Cited by 7 (2 self)
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Abstract. This paper studies single equation models for binary outcomes incorporating instrumental variable restrictions. The models are incomplete in the sense that they place no restriction on the way in which values of endogenous variables are generated. The models are set, not point, identifying. The paper explores the nature of set identi…cation in single equation IV models in which the binary outcome is determined by a threshold crossing condition. There is special attention to models which require the threshold crossing function to be a monotone function of a linear index involving observable endogenous and exogenous explanatory variables. Identi…ed sets can be large unless instrumental variables have substantial predictive power. A generic feature of the identi…ed sets is that they are not connected when instruments are weak. The results suggest that the strong point identifying power of triangular “control function” models restricted versions of the IV models considered here is fragile, the wide expanses of the IV model’s identi…ed set awaiting in the event of failure of the triangular model’s restrictions.
2007): “Nonparametric Survey Response Errors
 International Economic Review
"... We present nonparametric methods to identify and estimate the biases associated with response errors. When applied to survey data, these methods can be used to correct for those biases, analyze how observable characteristics of the respondent and the design of the survey affect the biases, and to de ..."
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Cited by 7 (0 self)
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We present nonparametric methods to identify and estimate the biases associated with response errors. When applied to survey data, these methods can be used to correct for those biases, analyze how observable characteristics of the respondent and the design of the survey affect the biases, and to design better surveys. We consider cases where the distribution of the true response is known as well as cases where this distribution is unknown. In each case, we allow the response to be influenced by characteristics of the respondent and of the design of the survey. Several cases of statistical dependence between the true response and the observable characteristics are considered.