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Mixture models of choice under risk

Conte, Anna and Hey, John D. and Moffatt, Peter G. (2011) Mixture models of choice under risk. Journal of Econometrics, 162 (1). pp. 79-88. ISSN 0304-4076

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Official URL: http://dx.doi.org/10.1016/j.jeconom.2009.10.011

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.

Item Type:Article
Research Community:University of Westminster > Westminster Business School
ID Code:10121
Deposited On:06 Dec 2011 10:10
Last Modified:06 Dec 2011 10:10

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