The identification of preferences from market data under uncertainty

We show that even under incomplete markets, the equilibrium manifold identifies aggregate demand and individual demands everywhere in their domains. Moreover, under partial observation of the equilibrium manifold, we we construct maximal domains of identification. For this, we assume conditions of smoothness, interiority and regularity, but avoid implausible observational requirements. It is crucial that there be date-zero consumption. As a by-product, we develop some duality theory under incomplete markets.

• Autores: Carvajal Contreras, Andrés; Riascos Villegas, Alvaro José
• Tipo de recurso: Work document
• Fecha de publicación: 2005
• Institución: Universidad de los Andes
• Repositorio: Séneca: repositorio Uniandes
• Idioma: eng
• OAI Identifier: oai:repositorio.uniandes.edu.co:1992/7955
• Acceso en línea: http://hdl.handle.net/1992/7955
• Palabra clave: Identification; General equilibrium; Incomplete Markets; Consumo (Economía) - Investigaciones - Modelos econométricos; Oferta y demanda - Investigaciones - Modelos econométricos; Mercado financiero - Investigaciones - Modelos econométricos; Equilibrio (Economía) - Investigaciones - Modelos econométricos; Incertidumbre (Economía) - Investigaciones - Modelos econométricos; D50, D52, D11
• Rights: openAccess
• License: http://creativecommons.org/licenses/by-nc-nd/4.0/