Generalized expected utility, heteroscedastic error, and path dependence in risky choice

被引:40
作者
Buschena, D
Zilberman, D
机构
[1] Montana State Univ, Dept Agr Econ & Econ, Bozeman, MT 59717 USA
[2] Univ Calif Berkeley, Dept Agr & Resource Econ & Policy, Berkeley, CA 94720 USA
关键词
generalized-expected utility; heteroscedastic error; path-dependence;
D O I
10.1023/A:1007814719863
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We evaluate the fit of several generalized expected utility models under homoscedasticity and three different heteroscedastic error structures for the data set first reported in Hey and Orme (1994). Standard chi-squared tests are used for nested tests, and both the Akaike (1973) information criterion and its consistent version (Hurvich and Tsai, 1989) are used for non-nested ranking of these models. A testing framework is developed that explicitly accounts for the path-dependent nature of the model selection problem. Not only does the selection of preference models depend on the error structure assumed, but the reverse is also true: the selection of the error structure depends on the preference structure assumed.
引用
收藏
页码:67 / 88
页数:22
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