Working Papers

A Revealed Preference Approach to Identification and Inference in Consumer Models

(Job Market Paper)

This paper provides a new identification result for a large class of consumer problems using a revealed preference approach. I show that the utility maximization hypothesis nonparametrically identifies production functions via restrictions from the first-order conditions. In addition, I derive a nonparametric characterization of the class of models that operationalizes the identification strategy. Finally, I use a novel and easy-to-apply inference method for the estimation of the production functions. This method can be used to statistically test the model, can deal with any type of latent variables (e.g., measurement error), and can be combined with standard exclusion restrictions. Using data on shopping expenditures from the Nielsen Homescan Dataset, I show that a doubling of shopping intensity decreases prices paid by about 15%. At the same time, I find that search costs more than double within the support of the data, hence largely diminishing net benefits of price search.

Download Paper (September 2022)

Latest Version (November 2022) (send me an email at to gain access)

This paper supersedes "Price Search and Consumption Inequality: Robust, Credible, and Valid Inference" (First version: March 2021)

Robust Inference on Discount Factors

The exponential discounting model is a predominant tool for analyzing dynamic choice in applied work. Its attractiveness rests in that time preferences are summarized by a single parameterthe discount factor. This allows one to tractably analyze a decision maker's intertemporal choices, which is crucial in a vast range of applications. Accordingly, many studies have tried to recover its key time parameter. However, a common feature in this literature is the specification of the consumer's preferences. This constitutes a potentially important limitation as erroneously specifying preferences may lead to spurious estimates of the discount factor. As such, this paper provides set estimates of individual-specific discount factors by using the concavity of the utility function without relying on parametric assumptions. Furthermore, I develop a novel methodology that allows me to evaluate the sensitivity of discounts factors with respect to measurement error in variables. Contrary to the experimental literature, my methodology is applicable to choices over multidimensional goods. Given observations on prices and demands from a checkout scanner panel data set, I find that accounting for unobserved heterogeneity is important as observable characteristics fail to capture differences in discounting.

Download Paper (September 2021)

An Inquiry into Dynamic Consistency

This paper summarizes the empirical content of a wide range of dynamically consistent model and provides novel revealed preference conditions that are necessary and sufficient for time consistency. Using standard machine learning tools, I show how to find the parameters of a model that best fit the data. Moreover, I propose a simple likelihood-ratio test to compare the performance of nested models. The empirical application tests the additional restrictions of the quasilinear model, exponential discounting model, and quasi-hyperbolic discounting model against the model of static utility maximization.

Coming soon (2022)

Choice under Uncertainty: Expected Utility and Risk aversion (joint with Victor Aguiar and Nail Kashaev)

Risk aversion is the tendency of individuals to prefer payoffs with low uncertainty to those with high uncertainty. This feature is usually captured by a constant relative risk aversion (CRRA) utility function. Further, individuals are generally assumed to gauge the value of a payoff by the expected utility it provides. However, the equity premium puzzle documents that such assumptions yield a risk aversion parameter that cannot simultaneously explain high returns on equity and low returns on the risk-free asset observed in the data. Using data from a large-scale experiment, this joint project aims to provide new insights into the reasons for the equity premium puzzle by using a novel econometric methodology.