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 well-defined 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 non-zero variance.
Bibliografisk notePublished online 19 July 2011
Andersen, S., Fountain, J., Harrison, G. W., Hole, A. R., & Rutström, E. E. (2012). Inferring Beliefs as Subjectively Imprecise Probabilities. Theory and Decision, 73(1), 161-184. https://doi.org/10.1007/s11238-011-9276-1