Wilcox, Nathaniel (2007): Stochastically more risk averse: A contextual theory of stochastic discrete choice under risk.
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Microeconometric treatments of discrete choice under risk are typically homoscedastic latent variable models. Specifically, choice probabilities are given by preference functional differences (given by expected utility, rank-dependent utility, etc.) embedded in cumulative distribution functions. This approach has a problem: Estimated utility function parameters meant to represent agents’ degree of risk aversion in the sense of Pratt (1964) do not imply a suggested “stochastically more risk averse” relation within such models. A new heteroscedastic model called “contextual utility” remedies this, and estimates in one data set suggest it explains (and especially predicts) as well or better than other stochastic models.
|Item Type:||MPRA Paper|
|Original Title:||Stochastically more risk averse: A contextual theory of stochastic discrete choice under risk|
|Keywords:||risk; more risk averse; discrete choice; stochastic choice; heteroscedasticity|
|Subjects:||D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D81 - Criteria for Decision-Making under Risk and Uncertainty
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C25 - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
C - Mathematical and Quantitative Methods > C9 - Design of Experiments > C91 - Laboratory, Individual Behavior
|Depositing User:||Nathaniel Wilcox|
|Date Deposited:||02. Dec 2008 06:33|
|Last Modified:||14. Feb 2013 12:31|
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