CFDP 1175

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


Publication Date: March 1998

Pages: 18


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.