Nonparametric Analysis of Random Utility Models: Computational Tools for Statistical Testing

Bart M.L. Smeulders, Laurens Cherchye, Bram De Rock

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    1 Citation (Scopus)
    7 Downloads (Pure)

    Abstract

    Kitamura and Stoye (2018) recently proposed a nonparametric statistical test for random utility models of consumer behavior. The test is formulated in terms of linear inequality constraints and a quadratic objective function. While the nonparametric test is conceptually appealing, its practical implementation is computationally challenging. In this paper, we develop a column generation approach to operationalize the test. These novel computational tools generate considerable computational gains in practice, which substantially increases the empirical usefulness of Kitamura and Stoye's statistical test.
    Original languageEnglish
    Pages (from-to)437-455
    Number of pages19
    JournalEconometrica
    Volume89
    Issue number1
    DOIs
    Publication statusPublished - 15 Jan 2021

    Keywords

    • Random utility model
    • column generation approach
    • revealed preferences

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