Yuichi Kitamura (Yale University, USA) Nonparametric Analysis of Random Utility Models (14 June 2013)

This paper aims at formulating econometric tools for investigating stochastic rationality, using the Random Utility Models (RUM) to deal with unobserved heterogeneity nonparametrically. Theoretical implications of the RUM have been studied in the literature, and in particular this paper utilizes the axiomatic treatment by McFadden and Richter (McFadden and Richter, 1991, McFadden, 2005). A set of econometric methods to test stochastic rationality given a cross-sectional data is developed.