Christopher Dobronyi, Christian Gouriéroux
arXiv 26 Oct 2020 · Econometrics
arXiv:2010.13937 · PDF · DOI · OpenAlex · Extracted main text
We introduce two models of non-parametric random utility for demand systems: the stochastic absolute risk aversion (SARA) model, and the stochastic safety-first (SSF) model. In each model, individual-level heterogeneity is characterized by a distribution $\pi\in\Pi$ of taste parameters, and heterogeneity across consumers is introduced using a distribution $F$ over the distributions in $\Pi$. Demand is non-separable and heterogeneity is infinite-dimensional. Both models admit corner solutions. We consider two frameworks for estimation: a Bayesian framework in which $F$ is known, and a hyperparametric (or empirical Bayesian) framework in which $F$ is a member of a known parametric family. Our methods are illustrated by an application to a large U.S. panel of scanner data on alcohol consumption.
appendix boundary found by appendix_command · 78% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Guha, R. and S. Ng (2019) A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data | 0.941 | 6 | 3 | 83% |
| 2 | Dobronyi, C. and C. Gouriéroux (2020) Stochastic Revealed Preference: A Non-Parametric Analysis self | 0.903 | 19 | 7 | 74% |
| 3 | Chernozhukov, V., J. Hausman, and W. Newey (2020) Demand Analysis with Many Prices | 0.874 | 5 | 2 | 100% |
| 4 | Deaton, A. and J. Muellbauer (1980) An Almost Ideal Demand System | 0.843 | 3 | 3 | 100% |
| 5 | Ferguson, T (1974) Prior Distributions on Spaces of Probability Measures | 0.830 | 7 | 3 | 57% |
| 6 | Burda, M., M. Harding, and J. Hausman (2008) A Bayesian Mixed Logit-Probit Model for Multinomial Choice | 0.811 | 4 | 2 | 100% |
| 7 | Crawford, I. and M. Polisson (2016) Demand Analysis with Partially Observed Prices | 0.811 | 4 | 2 | 100% |
| 8 | Hausman, J. and W. Newey (2016) Individual Heterogeneity and Average Welfare | 0.811 | 4 | 2 | 100% |
| 9 | Brown, B. and M. Walker (1989) The Random Utility Hypothesis and Inference in Demand Systems | 0.737 | 3 | 2 | 100% |
| 10 | Grant, S (1995) A Strong (Ross) Characterization of Multivariate Risk Aversion | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 62 scored citations.