Estimating Bayesian Decision Problems with Heterogeneous Priors

Stephen Hansen and Michael McMahon

CEP Discussion Papers from Centre for Economic Performance, LSE

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 "Prior-Based Identification" 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.

Keywords: Bayesian decision making; expertise; preferences; estimation (search for similar items in EconPapers)
JEL-codes: C13 D72 D81 (search for similar items in EconPapers)
Date: 2013-05
New Economics Papers: this item is included in nep-cdm and nep-upt
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Citations: View citations in EconPapers (1)

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https://cep.lse.ac.uk/pubs/download/dp1211.pdf (application/pdf)

Related works:
Working Paper: Estimating Bayesian Decision Problems with Heterogeneous Priors (2015)
Working Paper: Estimating Bayesian Decision Problems with Heterogeneous Priors (2013)
Working Paper: Estimating Bayesian Decision Problems with Heterogeneous Priors (2013)
Working Paper: Estimating Bayesian Decision Problems with Heterogeneous Priors* (2013)
Working Paper: Estimating Bayesian decision problems with heterogeneous priors (2013)
Working Paper: Estimating Bayesian decision problems with heterogeneous priors (2013)
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