Mixture models of choice under risk

Conte, A., Hey, J.D. and Moffatt, P.G. 2011. Mixture models of choice under risk. Journal of Econometrics. 162 (1), pp. 79-88.

TitleMixture models of choice under risk
AuthorsConte, A., Hey, J.D. and Moffatt, P.G.
Abstract

This paper is concerned with estimating preference functionals for choice under risk from the choice behaviour of individuals. We note that there is heterogeneity in behaviour between individuals and within individuals. By ‘heterogeneity between individuals’ we mean that people are different, in terms of both their preference functionals and their parameters for these functionals. By ‘heterogeneity within individuals’ we mean that the behaviour may be different even by the same individual for the same choice problem. We propose methods of taking into account all forms of heterogeneity, concentrating particularly on using a Mixture Model to capture the heterogeneity of preference functionals.

JournalJournal of Econometrics
Journal citation162 (1), pp. 79-88
ISSN0304-4076
YearMay 2011
PublisherElsevier
Digital Object Identifier (DOI)doi:10.1016/j.jeconom.2009.10.011
Publication dates
PublishedMay 2011

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