کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096613 | 1376538 | 2011 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Global identification of risk preferences with revealed preference data
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
The concept of parameter identification (for a given specification) is differentiated from global identification (which specification is right). First-order conditions for production under risk are shown to admit many alternative specification pairs representing risk preferences and either perceived price risk, production risk, or the deterministic production structure. Imposing an arbitrary specification on any of the latter three determines which risk preference specification fits a given dataset, undermining global identification even when parameter identification is suggested by typical statistics. This lack of identification is not relaxed by increasing the number of observations. Critical implications for estimation of mean-variance specifications are derived.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 162, Issue 1, May 2011, Pages 6-17
Journal: Journal of Econometrics - Volume 162, Issue 1, May 2011, Pages 6-17
نویسندگان
Richard E. Just, David R. Just,