Testing the significance of the departures from utility maximization

被引：12

作者：

de Peretti, P ^{[1
]}

机构：

[1] Univ Paris 01, Maison Sci Econ, TEAM, F-75647 Paris, France

来源：

MACROECONOMIC DYNAMICS | 2005年 / 9卷 / 03期

关键词：

GARP; violations; significance;

D O I：

10.1017/S1365100505040241

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper introduces a general procedure that tests the significance of the departures from utility maximization, departures defined as violations of the general axiom of revealed preference (GARP). This general procedure is based on (i) an adjustment procedure that computes the minimal perturbation in order to satisfy GARP by using the information content in the transitive closure matrix and (ii) a test procedure that checks the significance of the necessary adjustment. This procedure can be easily implemented and programmed, and we run Monte Carlo simulations to show that it is quite powerful.

引用

页码：372 / 397

页数：26

共 21 条

[1]

Afriat S. N., 1973, INT ECON REV, V14, P460, DOI [DOI 10.2307/2525934, 10.2307/2525934]

[2]

Afriat S.N., 1967, Int. Econ. Rev., V8, P67, DOI [DOI 10.2307/2525382, /10.2307/2525382]

[3]

Barnett WA, 2004, CONTRIB TO ECON ANAL, P257

[4]

BARNETT WA, 1989, J BUSINESS EC STAT

[5] AN ADMISSIBLE MONETARY AGGREGATE FOR THE UNITED-KINGDOM [J].

BELONGIA, MT ;

CHRYSTAL, KA .

REVIEW OF ECONOMICS AND STATISTICS, 1991, 73 (03) :497-503

[6] THE POWER OF NONPARAMETRIC-TESTS OF PREFERENCE MAXIMIZATION [J].

BRONARS, SG .

ECONOMETRICA, 1987, 55 (03) :693-698

[7]

DIAYE MA, 1997, PREFERENCE ANAL NONP

[8] NONPARAMETRIC HYPOTHESIS-TESTING PROCEDURES AND APPLICATIONS TO DEMAND ANALYSIS [J].

EPSTEIN, LG ;

YATCHEW, AJ .

JOURNAL OF ECONOMETRICS, 1985, 30 (1-2) :149-169

[9] A HOUSEHOLD-BASED, NONPARAMETRIC TEST OF DEMAND THEORY [J].

FAMULARI, M .

REVIEW OF ECONOMICS AND STATISTICS, 1995, 77 (02) :372-382

[10] Monetary aggregation and the demand for assets [J].

Fisher, D ;

Fleissig, AR .

JOURNAL OF MONEY CREDIT AND BANKING, 1997, 29 (04) :458-475

← 1 2 3 →