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An Efficient Revealed Preference Test for the Maxmin Expected Utility Model

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  • Thomas Demuynck
  • Clément Staner

Abstract

We develop a revealed preference approach for the maxmin expected utility model. In contrast to the existing tests in the literature, our revealed preference test can be efficiently implemented and does not rely on a grid search over the set of possible priors. We illustrate the usefulness of our results by implementing our revealed preference tests on two experimental datasets from the literature and we compare the empirical fit of the max-min expected utility model with the subjective expected utility model.

Suggested Citation

  • Thomas Demuynck & Clément Staner, 2020. "An Efficient Revealed Preference Test for the Maxmin Expected Utility Model," Working Papers ECARES 2020-31, ULB -- Universite Libre de Bruxelles.
  • Handle: RePEc:eca:wpaper:2013/310013
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    References listed on IDEAS

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    More about this item

    Keywords

    Revealed preference theory; Maxmin expected utility; Subjective expected utility;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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