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Eliciting Multiple Prior Beliefs

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  • Brian Hill

    (HEC Paris - Recherche - Hors Laboratoire - HEC Paris - Ecole des Hautes Etudes Commerciales, CNRS - Centre National de la Recherche Scientifique, GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique)

  • Mohammed Abdellaoui
  • Philippe Colo

Abstract

Despite the increasing importance of multiple priors in various domains of economics and the significant theoretical advances concerning them, choice-based incentive-compatible multiple-prior elicitation largely remains an open problem. This paper develops a solution, comprising a preference-based identification of a subject's probability interval for an event, and two procedures for eliciting it. The method does not rely on specific assumptions about subjects' ambiguity attitudes or probabilistic sophistication. To demonstrate its feasibility, we implement it in two incentivized experiments to elicit the multiple-prior equivalent of subjects' cumulative distribution functions over continuous-valued sources of uncertainty. We find a predominance of non-degenerate probability intervals among subjects for all explored sources, with intervals being wider for less familiar sources. Finally, we use our method to undertake the first elicitation of the mixture coefficient in the Hurwicz α-maxmin EU model that fully controls for beliefs.
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  • Brian Hill & Mohammed Abdellaoui & Philippe Colo, 2021. "Eliciting Multiple Prior Beliefs," Working Papers hal-03503996, HAL.
    • Handle: RePEc:hal:wpaper:hal-03503996
    DOI: 10.2139/ssrn.3859711
    Note: View the original document on HAL open archive server: https://hal.science/hal-03503996
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    Cited by:

    1. Hill, Brian, 2023. "Beyond uncertainty aversion," Games and Economic Behavior, Elsevier, vol. 141(C), pages 196-222.
    2. Karni, Edi & Vierø, Marie-Louise, 2023. "Comparative incompleteness: Measurement, behavioral manifestations and elicitation," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 423-442.
    3. Bose, Subir & Daripa, Arup, 2022. "Eliciting ambiguous beliefs using constructed ambiguous acts: Alpha-maxmin," Journal of Mathematical Economics, Elsevier, vol. 103(C).
    4. Colo, Philippe, 2021. "Expert-based Knowledge: Communicating over Scientific Models," MPRA Paper 110434, University Library of Munich, Germany.

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