Resource title

Estimating Aversion to Uncertainty

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Resource description

It is intuitive that decision-makers might have attitudes towards uncertainty just as theymight have attitudes towards risk. However, it is only recently that this intuitive notion has beenformalized and axiomatically characterized. We estimate the extent of uncertainty aversion in amanner that is parsimonious and consistent with theory. We demonstrate that one can jointlyestimate attitudes towards uncertainty, attitudes towards risk, and subjective probabilities in arigorous manner. Our structural econometric model constructively demonstrates the theoreticalclaims that it is possible to define uncertainty aversion in an empirically tractable manner. Ourresults show that attitudes towards risk and uncertainty can be different, qualitatively andquantitatively, and that allowing for these differences can have significant effects on inferences aboutsubjective probabilities.

Resource author

Steffen Andersen, John Fountain, Glenn W. Harrison, E. Elisabet Rutström

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Resource publish date

Resource language

eng

Resource content type

application/pdf

Resource resource URL

http://hdl.handle.net/10398/7803

Resource license

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