Joint Estimation of Risk Preferences and Technology: Flexible Utility or Futility?

Sergio Lence

Staff General Research Papers Archive from Iowa State University, Department of Economics

Abstract: A thought experiment is designed to investigate whether the structure of risk aversion (i.e., the changes in absolute or relative risk aversion associated with changes in wealth) can be estimated with reasonable precision from agricultural production data. Findings strongly suggest that typical production data are unlikely to allow identification of the structure of risk aversion. A flexible utility parameterization is found to slightly worsen technology parameter estimates. Results also indicate that even under a restricted utility specification, utility parameter estimates are biased. Further, their quality is much worse when shocks are not large or samples are small.

Keywords: expected utility; joint estimation; production analysis; risk attitudes; risk preferences (search for similar items in EconPapers)
JEL-codes: C10 D20 D80 Q10 (search for similar items in EconPapers)
Date: 2009-08-05
New Economics Papers: this item is included in nep-agr and nep-upt
References: Add references at CitEc
Citations: View citations in EconPapers (29)

Published in American Journal of Agricultural Economics, August 2009, vol. 91 no. 3, pp. 581-598

Downloads: (external link)
http://www2.econ.iastate.edu/papers/p1742-2009-10-05.pdf (application/pdf)

Related works:
Journal Article: Joint Estimation of Risk Preferences and Technology: Flexible Utility or Futility? (2007)
Working Paper: Joint Estimation of Risk Preferences and Technology: Flexible Utility of Futility? (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:isu:genres:13028

Access Statistics for this paper

More papers in Staff General Research Papers Archive from Iowa State University, Department of Economics Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070. Contact information at EDIRC.
Bibliographic data for series maintained by Curtis Balmer ().