Robust Inference in Risk Elicitation Tasks
Håkan J. Holm,
Jean-Robert Tyran () and
Erik Wengström ()
Additional contact information
Håkan J. Holm: Department of Economics, Lund University
No 1358, Working Paper Series from Research Institute of Industrial Economics
Recent experimental evidence suggests that noisy behavior correlates strongly with personal characteristics. Since decision noise leads to bias in most elicitation tasks, there is a risk of falsely interpreting noise-driven relationships as preference driven. This puts previous studies that found a negative relation between personality measures and risk aversion into perspective and in particular raises the question of how to achieve robust inference in this domain. This paper shows, by way of an economic experiment with subjects from all walks of life, that using structural estimation that models heterogeneity of noise in combination with a balanced design allows us to mitigate the bias problem. Our estimations show that cognitive ability is related to noisy behavior rather than risk preferences. We also find age and education to be strongly related to noise, but the personality characteristics obtained using the Big Five inventory are less related to noise and more robustly correlated to risk preferences.
Keywords: Risk preference; Cognitive ability; Experiment; Noise (search for similar items in EconPapers)
JEL-codes: C81 C91 D12 D81 (search for similar items in EconPapers)
Pages: 36 pages
New Economics Papers: this item is included in nep-cbe, nep-exp, nep-isf and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://www.ifn.se/wfiles/wp/wp1358.pdf Full text (application/pdf)
Working Paper: Robust Inference in Risk Elicitation Tasks (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hhs:iuiwop:1358
Access Statistics for this paper
More papers in Working Paper Series from Research Institute of Industrial Economics Research Institute of Industrial Economics, Box 55665, SE-102 15 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Elisabeth Gustafsson ().