Testing expected utility maximization under price and quantity risk with a heterogeneous panel

Refutable implications based on the curvature properties of the indirect utility function for the competitive firm operating under uncertainty are extended to the case of both price and quantity uncertainty. Using unit roots and cointegration tests for heterogeneous panels, a model of US agricultural production is developed based on the time-series properties of a panel of state-level data. Most refutable hypotheses under output price and output quantity risk are not rejected, but symmetry conditions implied by a twice-continuously-differentiable indirect utility function are rejected. The same test conclusions are obtained from a traditional model that presumes stationarity in all variables.