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Porträtt av Erik Wengström. Foto.

Erik Wengström

Studierektor forskarutbildning, Nationalekonomiska institutionen, Professor

Porträtt av Erik Wengström. Foto.

Robust Inference in Risk Elicitation Tasks

Författare

  • Ola Andersson
  • Håkan J. Holm
  • Jean-Robert Tyran
  • Erik Wengström

Summary, in English

Recent experimental evidence suggests that noisy behavior correlates strongly with personal characteristics. Since decision noise leads to bias in most elicitation tasks, there is a risk of falsely interpreting noise-driven relationships as preference driven. This puts previous studies that found a negative relation between personality measures and risk aversion into perspective and in particular raises the question of how to achieve robust inference in this domain. This paper shows, by way of an economic experiment with subjects from all walks of life, that using structural estimation to model heterogeneity of noise in combination with a balanced design allows us to mitigate the bias problem. Our estimations show that cognitive ability is related to noisy behavior rather than risk preferences. We also find age and education to be strongly related to noise, but the personality characteristics obtained using the Big Five inventory are less related to noise and more robustly correlated to risk preferences.

Avdelning/ar

  • Nationalekonomiska institutionen

Publiceringsår

2020-12-10

Språk

Engelska

Sidor

195-209

Publikation/Tidskrift/Serie

Journal of Risk and Uncertainty

Volym

61

Issue

3

Dokumenttyp

Artikel i tidskrift

Förlag

Springer

Ämne

  • Economics
  • Psychology (excluding Applied Psychology)

Aktiv

Published

ISBN/ISSN/Övrigt

  • ISSN: 0895-5646