Hansen, Stephen and McMahon, Michael F. (2013) Estimating bayesian decision problems with heterogeneous priors. Working Paper. Coventry, UK: Department of Economics, University of Warwick. CAGE Online Working Paper Series, Volume 2013 (Number 127).

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Abstract

In many areas of economics there is a growing interest in how expertise and
preferences drive individual and group decision making under uncertainty. Increasingly,
we wish to estimate such models to quantify which of these drive decision
making. In this paper we propose a new channel through which we can empirically
identify expertise and preference parameters by using variation in decisions
over heterogeneous priors. Relative to existing estimation approaches, our \PriorBased
Identi cation" extends the possible environments which can be estimated,
and also substantially improves the accuracy and precision of estimates in those
environments which can be estimated using existing methods.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	H Social Sciences > HB Economic Theory
Divisions:	Faculty of Social Sciences > Economics
Library of Congress Subject Headings (LCSH):	Bayesian statistical decision theory , Economics -- Mathematical models
Series Name:	CAGE Online Working Paper Series
Publisher:	Department of Economics, University of Warwick
Place of Publication:	Coventry, UK
Official Date:	March 2013
Dates:	Date Event March 2013 Published
Date of first compliant deposit:	9 November 2017
Volume:	Volume 2013
Number:	Number 127
Number of Pages:	23
Institution:	University of Warwick
Status:	Not Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Open Access

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