COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

Lux et veritas

COWLES FOUNDATION DISCUSSION PAPER NO. 1175

Estimation of Nonparametric Functions in Simultaneous Equations Models,
with an Application to Consumer Demand

Donald J. Brown and Rosa L. Matzkin

1998

We present a method for consistently estimating nonparametric functions and distributions in simultaneous equations models. This method is used to identify and estimate a random utility model of consumer demand. Our identification conditions for this particular model extend the results of Houthakker (1950), Uzawa (1971) and Mas-Colell (1977), where a deterministic utility function is uniquely recovered from its deterministic demand function.