Identifying subjective beliefs in subjective state space models

Pablo Schenone

doi:10.1016/j.geb.2015.12.007

Identifying subjective beliefs in subjective state space models

Pablo Schenone

WPC: Economics

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

This paper takes the Dekel, Lipman, and Rustichini (2001) framework, in which subjective beliefs over subjective states cannot be identified, and proves a conjecture made in their paper: if the Bernoulli utility functions are additively separable and one of the terms is state-independent, then beliefs are uniquely identified. The main departure from existing literature is that beliefs are identified without imposing extra objective elements into the model.

Original language	English (US)
Pages (from-to)	59-72
Number of pages	14
Journal	Games and Economic Behavior
Volume	95
DOIs	https://doi.org/10.1016/j.geb.2015.12.007
State	Published - Jan 1 2016

Keywords

Decision theory
Menu choice
Subjective states

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.geb.2015.12.007

Cite this

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abstract = "This paper takes the Dekel, Lipman, and Rustichini (2001) framework, in which subjective beliefs over subjective states cannot be identified, and proves a conjecture made in their paper: if the Bernoulli utility functions are additively separable and one of the terms is state-independent, then beliefs are uniquely identified. The main departure from existing literature is that beliefs are identified without imposing extra objective elements into the model.",

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AB - This paper takes the Dekel, Lipman, and Rustichini (2001) framework, in which subjective beliefs over subjective states cannot be identified, and proves a conjecture made in their paper: if the Bernoulli utility functions are additively separable and one of the terms is state-independent, then beliefs are uniquely identified. The main departure from existing literature is that beliefs are identified without imposing extra objective elements into the model.

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KW - Subjective states

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Identifying subjective beliefs in subjective state space models

Abstract

Keywords

ASJC Scopus subject areas

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