Inferring beliefs as subjectively imprecise probabilities

• We propose a method for estimating subjective beliefs, viewed as a subjective probability distribution. The key insight is to characterize beliefs as a parameter to be estimated from observed choices in a well-defined experimental task and to estimate that parameter as a random coefficient. The experimental task consists of a series of standard lottery choices in which the subject is assumed to use conventional risk attitudes to select one lottery or the other and then a series of betting choices in which the subject is presented with a range of bookies offering odds on the outcome of some event that the subject has a belief over. Knowledge of the risk attitudes of subjects conditions the inferences about subjective beliefs. Maximum simulated likelihood methods are used to estimate a structural model in which subjects employ subjective beliefs to make bets. We present evidence that some subjective probabilities are indeed best characterized as probability distributions with non-zero variance.

Ämnesord

SAMHÄLLSVETENSKAP  -- Ekonomi och näringsliv (hsv//swe)

SOCIAL SCIENCES  -- Economics and Business (hsv//eng)

Nyckelord

Experiments

Non-linear mixed logit

Random coefficients

Subjective beliefs

Subjective risk

Imprecise probabilities

Mixed logit

Risk attitude

Simulated likelihood

Structural models

Subjective probability

Estimation

Maximum likelihood

Model structures

Risk perception

Publikations- och innehållstyp

ref (ämneskategori)

art (ämneskategori)