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Mixture models of choice under risk

[journal article]

Conte, Anna; Hey, John D.; Moffatt, Peter G.

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Abstract "This paper is concerned with estimating preference functionals for choice under risk from the choice behaviour of individuals. We note that there is heterogeneity in behaviour between individuals and within individuals. By ‘heterogeneity between individuals’ we mean that people are different, in terms of both their preference functionals and their parameters for these functionals. By ‘heterogeneity within individuals’ we mean that behaviour may be different even by the same individual for the same choice problem. We propose methods of taking into account all forms of heterogeneity, concentrating particularly on using a Mixture Model to capture the heterogeneity of preference functionals." [author's abstract]
Classification Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods
Free Keywords Expected utility theory; Maximum simulated likelihood; Mixture models; Rank dependent expected utility theory; Heterogeneity;
Document language English
Publication Year 2009
Page/Pages p. 79-88
Journal Journal of Econometrics, 162 (2009) 1
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)