Data and Code for: Revealed Preferences over Risk and Uncertainty
Principal Investigator(s): View help for Principal Investigator(s) Matthew Polisson, University of Bristol; John K.-H. Quah, Johns Hopkins University; Ludovic Renou, Queen Mary University of London
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| Python | 12/04/2019 01:18:PM |
Project Description
Summary:
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We develop a nonparametric method called Generalized Restriction of Infinite Domains (GRID), for testing the consistency of budgetary choice data with models of choice under risk and under uncertainty. Our test can allow for risk loving and elation seeking attitudes, or it can require risk aversion. It can also be used to calculate, via Afriat's efficiency index, the magnitude of violations from a particular model. We evaluate the performance of various models under risk (expected utility, disappointment aversion, rank dependent utility, and stochastically monotone utility) using data collected from several recent portfolio choice experiments.
Scope of Project
Subject Terms:
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expected utility;
rank dependent utility;
disappointment aversion;
GARP;
first order stochastic dominance;
risk aversion;
Afriat efficiency;
intertemporal consumption
JEL Classification:
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C14 Semiparametric and Nonparametric Methods: General
C60 Mathematical Methods; Programming Models; Mathematical and Simulation Modeling: General
D11 Consumer Economics: Theory
D12 Consumer Economics: Empirical Analysis
D81 Criteria for Decision-Making under Risk and Uncertainty
C14 Semiparametric and Nonparametric Methods: General
C60 Mathematical Methods; Programming Models; Mathematical and Simulation Modeling: General
D11 Consumer Economics: Theory
D12 Consumer Economics: Empirical Analysis
D81 Criteria for Decision-Making under Risk and Uncertainty
Geographic Coverage:
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USA, Netherlands, Canada
Universe:
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Choi et al. (2007) -- 93 subjects, undergraduate students at the University of California, Berkeley
Choi et al. (2014) -- 1,182 subjects, representative of the Dutch-speaking population of the Netherlands
Halevy, Persitz, and Zrill (2018) -- 207 subjects, primarily undergraduate students at the University of British Columbia
Choi et al. (2014) -- 1,182 subjects, representative of the Dutch-speaking population of the Netherlands
Halevy, Persitz, and Zrill (2018) -- 207 subjects, primarily undergraduate students at the University of British Columbia
Data Type(s):
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experimental data
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