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On Specification and Identification of Stochastic Demand Models

By Walter Beckert

Abstract

This paper is concerned with stochastic demand systems that arise from structural random utility models for J continuous choice variables. It examines under which conditions on the structural preference specification the implied reduced form model is invertible. And it investigates the conditions under which the structural model can be locally identified from the reduced form under moment assumptions on the stochastic components in the structural preference model. The paper shows that analogues to conventional assumptions on preferences, together with some further conditions which are easily verifiable in practice, provide enough structure for local identification through conditional moments, which can be derived from either the reduced form or, if analytically intractable, first-order conditions

Year: 2003
OAI identifier: oai:CiteSeerX.psu:10.1.1.197.6381
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