Efficient Estimation of Risk Attitude with Seminonparametric Risk Modeling

Feng Wu and Zhengfei Guan

No 170625, 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota from Agricultural and Applied Economics Association

Abstract: Recent development in production risk analyses has raised questions on the conventional approaches to estimating risk preferences. This study proposes to identify the risk separately from input equations with a seminonparametric estimator. The approach circumvents the issue of arbitrary risk specifications. Meanwhile, it facilitates analytical derivation of input equations. The GMM estimation method is then applied to input equations to estimate risk preferences. The procedure is validated by a Monte Carlo experiment. Simulation results show that the proposed method provides a consistent estimator and significantly improves estimation efficiency.

Keywords: Production Economics; Risk and Uncertainty (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea14:170625

DOI: 10.22004/ag.econ.170625

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