EconPapers    
Economics at your fingertips  
 

Imputing Risk Tolerance from Survey Responses

Miles Kimball, Claudia Sahm () and Matthew Shapiro

No 13337, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Economic theory assigns a central role to risk preferences. This paper develops a measure of relative risk tolerance using responses to hypothetical income gambles in the Health and Retirement Study. In contrast to most survey measures that produce an ordinal metric, this paper shows how to construct a cardinal proxy for the risk tolerance of each survey respondent. The paper also shows how to account for measurement error in estimating this proxy and how to obtain consistent regression estimates despite the measurement error. The risk tolerance proxy is shown to explain differences in asset allocation across households.

JEL-codes: C24 C42 E21 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2007-08
Note: AP EFG ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Published as Kimball, Miles S & Sahm, Claudia R & Shapiro, Matthew D, 2008. "Imputing Risk Tolerance From Survey Responses," Journal of the American Statistical Association, American Statistical Association, vol. 103(483), pages 1028-1038.

Downloads: (external link)
http://www.nber.org/papers/w13337.pdf (application/pdf)

Related works:
Journal Article: Imputing Risk Tolerance From Survey Responses (2008) Downloads
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:nbr:nberwo:13337

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w13337

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-09-19
Handle: RePEc:nbr:nberwo:13337