Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189804 
Year of Publication: 
2017
Series/Report no.: 
cemmap working paper No. CWP60/17
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
Abstract: 
New nonparametric methods that identify and estimate counterfactuals for individuals, when each is characterized by a vector of unobserved characteristics, are developed and applied to estimate systems of individual consumer demand and welfare measures. The unobserved characteristics are allowed to enter in unrestricted ways. Identification is delivered through two fundamental assumptions: First, the system is invertible in the vector of unobserved heterogeneity. Second, there exist external, individual-specific, covariates that are related to the unobserved heterogeneity and do not enter directly into the system of interest. The observed external variables can be either discrete or continuously distributed. Estimators based on the identifying restrictions are developed and their asymptotic properties derived. Using UK micro data on consumer demand, we apply the methods to estimate individual demand counterfactuals subject to revealed preference inequalities.
Subjects: 
simultaneous equations
nonseparable models
constructive identification
nonpara-metric methods
consumer behaviour
structural demand functions
revealed preference
bounds
JEL: 
C20
D12
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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