论文标题
动态随机效用模型的非参数分析
Nonparametric Analysis of Dynamic Random Utility Models
论文作者
论文摘要
我们研究消费者行为的随机合理性的动态概括，即动态随机效用模型（DRUM）。在DRUM下，消费者从随机效用过程中汲取了实用功能，并在每个时间段内都会受到预算限制的最大化。效用是随机的，在横截面中无限制的相关性和不受限制的异质性。当我们观察到预算中的一系列选择时，我们提供了启发的鼓的偏好表征。这种表征适合统计测试。我们的结果统一了Afriat（1967）的定理，该定理与时间序列数据以及McFadden-Richter（1990）的静态随机效用框架（1990年）一起使用，该框架可与选择的横截面一起使用。
We study a dynamic generalization of stochastic rationality in consumer behavior, the Dynamic Random Utility Model (DRUM). Under DRUM, a consumer draws a utility function from a stochastic utility process and maximizes this utility subject to her budget constraint in each time period. Utility is random, with unrestricted correlation across time periods and unrestricted heterogeneity in a cross-section. We provide a revealed preference characterization of DRUM when we observe a panel of choices from budgets. This characterization is amenable to statistical testing. Our result unifies Afriat's (1967) theorem that works with time-series data and the static random utility framework of McFadden-Richter (1990) that works with cross-sections of choice.
