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The Multivariate Heterogeneous Preference Estimator for Switching Multiple Price List Data

Wednesday 24 November 2021, 1.00PM to 2:00pm

Speaker(s): Anna Conte (La Sapienza)

Abstract: The Multiple Price List (MPL) and Switching Multiple Price List (sMPL) provide a useful framework for estimating preference parameters, most usually risk aversion, from a sample of experimental subjects or survey respondents. In this paper, we consider designs in which more than one sMPL is presented to each subject, allowing more than one preference parameter to be estimated simultaneously, and we propose a consistent estimator in this setting - the Multivariate Heterogeneous Preference (MHP) estimator. Focusing on the bivariate case of two sMPLs and two preference parameters, we demonstrate that non-standard econometric techniques, namely Monte Carlo integration with importance sampling, are required to implement the MHP estimator. Using Monte Carlo simulations, we verify that the estimator is consistent and has good finite-sample properties. Finally, we apply the MHP estimator to a real data set and compare the estimates to those obtained using an inconsistent estimator applied in previous studies.

Host: John Hey

Location: Zoom - details to follow

Admission: All welcome