How Serious is the Measurement-Error Problem in a Popular Risk-Aversion Task? - ESSEC Business School Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2019

How Serious is the Measurement-Error Problem in a Popular Risk-Aversion Task?

Résumé

This paper uses the test/retest data from the Holt and Laury (2002) experiment to provide estimates of the measurement error in this popular risk-aversion task. Maximum likelihood estimation suggests that the variance of the measurement error is approximately equal to the variance of the number of safe choices. Simulations confirm that the coefficient on the risk measure in univariate OLS regressions is approximately half of its true value. Unlike measurement error, the discrete transformation of continuous riskaversion is not a major issue. We discuss the merits of a number of different solutions: increasing the number of observations, IV and the ORIV method developed by Gillen et al. (2019).
Fichier principal
Vignette du fichier
WP_1911_VRANCEANU.pdf (564.86 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-02291224 , version 1 (18-09-2019)

Identifiants

  • HAL Id : hal-02291224 , version 1

Citer

Fabien Perez, Guillaume Hollard, Radu Vranceanu, Delphine Dubart. How Serious is the Measurement-Error Problem in a Popular Risk-Aversion Task?. 2019. ⟨hal-02291224⟩
185 Consultations
1247 Téléchargements

Partager

Gmail Facebook X LinkedIn More