Robust inference in risk elicitation tasks

Andersson, OlaUppsala University,Uppsala universitet,UCFS,Res Inst Ind Econ, Stockholm, Sweden. (författare)

Recent experimental evidence suggests that noisy behavior correlates strongly with personal characteristics. Since decision noise leads to bias in most elicitation tasks, there is a risk of falsely interpreting noise-driven relationships as preference driven. This puts previous studies that found a negative relation between personality measures and risk aversion into perspective and in particular raises the question of how to achieve robust inference in this domain. This paper shows, by way of an economic experiment with subjects from all walks of life, that using structural estimation to model heterogeneity of noise in combination with a balanced design allows us to mitigate the bias problem. Our estimations show that cognitive ability is related to noisy behavior rather than risk preferences. We also find age and education to be strongly related to noise, but the personality characteristics obtained using the Big Five inventory are less related to noise and more robustly correlated to risk preferences.

Holm, Håkan J.Lund University,Lunds universitet,Nationalekonomiska institutionen,Ekonomihögskolan,Department of Economics,Lund University School of Economics and Management, LUSEM(Swepub:lu)nek-jho (författare)
Tyran, Jean-RobertUniv Vienna, Oskar Morgenstern Pl 1, A-1090 Vienna, Austria.;Univ Copenhagen, Copenhagen, Denmark.,University of Vienna,University of Copenhagen (författare)
Wengström, ErikLund University,Lunds universitet,Nationalekonomiska institutionen,Ekonomihögskolan,Department of Economics,Lund University School of Economics and Management, LUSEM(Swepub:lu)nek-ewe (författare)
Uppsala universitetUCFS (creator_code:org_t)

Ingår i:Journal of Risk and Uncertainty: Springer Nature61:3, s. 195-2090895-56461573-0476

Av författaren/redakt...: Andersson, Ola; Holm, Håkan J.; Tyran, Jean-Robe ...; Wengström, Erik

Om ämnet

SAMHÄLLSVETENSKAP: SAMHÄLLSVETENSKA ...; och Ekonomi och näri ...; och Nationalekonomi

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