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Autoren: 
Polisson, Matthew
Quah, John K.-H.
Renou, Ludovic
Datum: 
2017
Reihe/Nr.: 
Working Paper 822
Zusammenfassung: 
We develop a nonparametric procedure, called the lattice method, for testing the consistency of contingent consumption data with a broad class of models of choice under risk and under uncertainty. Our method allows for risk loving and elation seeking behavior and can be used to calculate, via Afriat's efficiency index, the magnitude of violations from a particular model of choice. We evaluate the performance of different models (including expected utility, disappointment aversion, rank dependent utility, mean-variance utility, and stochastically monotone utility) in the data collected by Choi et al. (2007), in terms of pass rates, power, and predictive success.
Schlagwörter: 
expected utility
rank dependent utility
disappointment aversion
Bronars power
predictive success
generalized axiom of revealed preference
first order stochastic dominance
mean-variance utility
Afriat's efficiency index
JEL: 
C14
C60
D11
D12
D81
Dokumentart: 
Working Paper
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