Assessing multiple prior models of behaviour under ambiguity
AbstractThe recent spate of theoretical models of behaviour under ambiguity can be partitioned into two sets: those involving multiple priors and those not involving multiple priors. This paper provides an experimental investigation into the first set. Using an appropriate experimental interface we examine the fitted and predictive power of the various theories. We first estimate subject-by-subject, and then estimate and predict using a mixture model over the contending theories. The individual estimates suggest that 24% of our 149 subjects have behaviour consistent with Expected Utility, 56% with the Smooth Model, 11% with Rank Dependent Expected Utility and 9% with the Alpha Model; these figures are close to the mixing proportions obtained from the mixture estimates where the respective posterior probabilities of each of them being of the various types are 25%, 50%, 20% and 5%; and using the predictions 22%, 53%, 22% and 3%. The Smooth model appears the best. Copyright Springer Science+Business Media New York 2013
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Bibliographic InfoArticle provided by Springer in its journal Journal of Risk and Uncertainty.
Volume (Year): 46 (2013)
Issue (Month): 2 (April)
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Web page: http://www.springerlink.com/link.asp?id=100299
Alpha model; Ambiguity; Expected utility; Mixture models; Rank dependent expected utility; Smooth model; D81; C91; C23;
Other versions of this item:
- Anna Conte & John D. Hey, 2012. "Assessing Multiple Prior Models of Behaviour under Ambiguity," Discussion Papers 12/01, Department of Economics, University of York.
- Ana Conte & John D. Hey, 2011. "Assessing Multiple Prior Models of Behaviour under Ambiguity," Jena Economic Research Papers 2011-068, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
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