Risk Attitudes, Sample Selection, and Attrition in a Longitudinal Field Experiment

Glenn Harrison, Morten I. Lau and Hong Il Yoo
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Morten I. Lau: Copenhagen Business School and Durham University Business School, Durham University
Hong Il Yoo: Durham University Business School, Durham University

The Review of Economics and Statistics, 2020, vol. 102, issue 3, 552-568

Abstract: We evaluate the temporal stability of risk preferences using a remarkable data set that combines sociodemographic information from the Danish Civil Registry with information on risk attitudes from a longitudinal field experiment. Our econometric model accounts for endogenous sample selection and attrition processes that may confound inferences about temporal stability. Our experimental design builds in randomization on the incentives for participation that facilitates empirical identification of the model. In general, we find evidence consistent with temporal stability after correcting for the effects of selection and attrition. When neglected, these effects change our inferences in an economically and statistically significant manner.

Date: 2020
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Related works:
Working Paper: Risk Attitudes, Sample Selection and Attrition in a Longitudinal Field Experiment (2019)
Working Paper: Risk Attitudes, Sample Selection and Attrition in a Longitudinal Field Experiment (2017)
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