Inferring beliefs as subjectively imprecise probabilities
 Steffen Andersen,
 John Fountain,
 Glenn W. Harrison,
 Arne Risa Hole,
 E. Elisabet Rutström
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We propose a method for estimating subjective beliefs, viewed as a subjective probability distribution. The key insight is to characterize beliefs as a parameter to be estimated from observed choices in a welldefined experimental task and to estimate that parameter as a random coefficient. The experimental task consists of a series of standard lottery choices in which the subject is assumed to use conventional risk attitudes to select one lottery or the other and then a series of betting choices in which the subject is presented with a range of bookies offering odds on the outcome of some event that the subject has a belief over. Knowledge of the risk attitudes of subjects conditions the inferences about subjective beliefs. Maximum simulated likelihood methods are used to estimate a structural model in which subjects employ subjective beliefs to make bets. We present evidence that some subjective probabilities are indeed best characterized as probability distributions with nonzero variance.
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 Title
 Inferring beliefs as subjectively imprecise probabilities
 Journal

Theory and Decision
Volume 73, Issue 1 , pp 161184
 Cover Date
 20120701
 DOI
 10.1007/s1123801192761
 Print ISSN
 00405833
 Online ISSN
 15737187
 Publisher
 Springer US
 Additional Links
 Topics
 Keywords

 Subjective risk
 Subjective beliefs
 Random coefficients
 Nonlinear mixed logit
 Experiments
 Industry Sectors
 Authors

 Steffen Andersen ^{(1)}
 John Fountain ^{(2)}
 Glenn W. Harrison ^{(3)}
 Arne Risa Hole ^{(4)}
 E. Elisabet Rutström ^{(5)}
 Author Affiliations

 1. Department of Economics, Copenhagen Business School, Copenhagen, Denmark
 2. Department of Economics, University of Canterbury, Christchurch, New Zealand
 3. Department of Risk Management & Insurance and Center for the Economic Analysis of Risk, Robinson College of Business, Georgia State University, Atlanta, GA, USA
 4. Department of Economics, University of Sheffield, Sheffield, UK
 5. Robinson College of Business and Department of Economics, Andrew Young School of Policy Studies, Georgia State University, Atlanta, GA, USA