Eliciting Beliefs in Continuous-Choice Games: A Double Auction Experiment

Claudia Neri

No 1207, Economics Working Paper Series from University of St. Gallen, School of Economics and Political Science

Abstract: This paper proposes a methodology to implement probabilistic belief elicitation in continuous-choice games. Representing subjective probabilistic beliefs about a continuous variable as a continuous subjective probability distribution, the methodology involves eliciting partial information about the subjective distribution and fitting a parametric distribution on the elicited data. As an illustration, the methodology is applied to a double auction experiment, where traders' beliefs about the bidding choices of other market participants are elicited. Elicited subjective beliefs are found to differ from proxies such as Bayesian Nash Equilibrium (BNE) beliefs and empirical beliefs, both in terms of the forecasts of other traders' bidding choices and in terms of the best-response bidding choices prescribed by beliefs. Elicited subjective beliefs help explain observed bidding choices better than BNE beliefs and empirical beliefs. By extending probabilistic belief elicitation beyond discrete-choice games to continuous-choice games, the proposed methodology enables to investigate the role of beliefs in a wider range of applications.

Keywords: Probabilistic beliefs; subjective expectations; private information; experiments; auctions (search for similar items in EconPapers)
JEL-codes: C90 C92 D44 D82 D83 D84 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2012-03, Revised 2012-12
New Economics Papers: this item is included in nep-cta and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Eliciting beliefs in continuous-choice games: a double auction experiment (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:usg:econwp:2012:07

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