Titel:

Estimating Subjective Probabilities

Forfatter:

Andersen, Steffen; Fountain, John; Harrison, Glenn W.; Rutström, E. Elisabet 
Resume:

Subjective probabilities play a role in many economic decisions. There is a large
theoretical literature on the elicitation of subjective probabilities, and an equally large empirical
literature. However, there is a gulf between the two. The theoretical literature proposes a range of
procedures that can be used to recover subjective probabilities, but stresses the need to make strong
auxiliary assumptions or “calibrating adjustments” to elicited reports in order to recover the latent
probability. With some notable exceptions, the empirical literature seems intent on either making
those strong assumptions or ignoring the need for calibration. We illustrate how one can jointly
estimate risk attitudes and subjective probabilities using structural maximum likelihood methods. This
allows the observer to make inferences about the latent subjective probability, calibrating for
virtually any wellspecified model of choice under uncertainty. We demonstrate our procedures with
experiments in which we elicit subjective probabilities. We calibrate the estimates of subjective
beliefs assuming that choices are made consistently with expected utility theory or rankdependent
utility theory. Inferred subjective probabilities are significantly different when calibrated according to
either theory. 
URI:

http://hdl.handle.net/10398/7801

Dato:

20090528 