Single-Crossing Random Utility Models

Apesteguía, José; Ballester, Miguel Ángel González; Lu, Jay

doi:10.3982/ecta14230

Cited by 55 publications

(36 citation statements)

References 27 publications

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“…11 In a more recent paper, Apesteguia et al (2017) study a case of random parameter models where the parameters can be ordered according to the single-crossing property.…”

Section: Related Literaturementioning

confidence: 99%

Random intertemporal choice

Saito

2018

Journal of Economic Theory

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We provide a theory of random intertemporal choice. Agents exhibit stochastic choice over consumption due to preference shocks to discounting attitudes. We first demonstrate how the distribution of these preference shocks can be uniquely identified from random choice data. We then provide axiomatic characterizations of some common random discounting models, including exponential and quasi-hyperbolic discounting. In particular, we show how testing for exponential discounting under stochastic choice involves checking for both a stochastic version of stationarity and a novel axiom characterizing decreasing impatience.

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“…11 In a more recent paper, Apesteguia et al (2017) study a case of random parameter models where the parameters can be ordered according to the single-crossing property.…”

Section: Related Literaturementioning

confidence: 99%

Random intertemporal choice

Saito

2018

Journal of Economic Theory

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“…A recent literature expressed concerns in using these models for risk and time preferences (Apesteguia and Ballester ()). If, instead, we use the random parameter model that Apesteguia, Ballester, and Lu () proposed to deal with these concerns, RSTL should always be chosen.…”

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confidence: 99%

Time Lotteries and Stochastic Impatience

DeJarnette

Dillenberger

Gottlieb

et al. 2020

ECTA

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We study preferences over lotteries in which both the prize and the payment date are uncertain. In particular, a time lottery is one in which the prize is fixed but the date is random. With Expected Discounted Utility, individuals must be risk seeking over time lotteries (RSTL). In an incentivized experiment, however, we find that almost all subjects violate this property. Our main contributions are theoretical. We first show that within a very broad class of models, which includes many forms of nonexpected utility and time discounting, it is impossible to accommodate even a single violation of RSTL without also violating a property we termed Stochastic Impatience, a risky counterpart of standard Impatience. We then present two positive results. If one wishes to maintain Stochastic Impatience, violations of RSTL can be accommodated by keeping Independence within periods while relaxing it across periods. If, instead, one is willing to forego Stochastic Impatience, violations of RSTL can be accommodated with a simple generalization of Expected Discounted Utility, obtained by imposing only the behavioral postulates of Discounted Utility and Expected Utility.

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“…All these effects are easy to accommodate in our setup, by supposing that there are two rankings i such that t 1 o 1 d and o 2 t 2 d, and that the introduction of d increases the probability of ranking 1 . The advantage of this way of modelling the phenomenon is that the mechanism holds regardless of the type of decoy that is introduced, whether it is a phantom alternative, or one that induces compromise, or a symmetrically dominated alternative, and so on.…”

Section: Lemma 3 Let P Be a Stochastic Choice Rule That Satisfies Modmentioning

confidence: 99%

“…The states correspond to on-off conditions that are relevant for the decision maker and are hidden to the observer, such as time pressure. 1 For instance, a store manager may wonder whether the variability in buying patterns fits a 'dual' form behaviour due to the presence or absence of time pressure at the time of purchase. Scanner data on the repeated purchases of each consumer are likely to be available to the manager, as well as which products were available at the time of each purchase, so that a stochastic choice function can be constructed.…”

Section: Introductionmentioning

confidence: 99%

Dual random utility maximisation

Manzini

Mariotti

2018

Journal of Economic Theory

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Dual Random Utility Maximisation (dRUM) is Random Utility Maximisation when utility depends on only two states. dRUM has many relevant behavioural interpretations and practical applications. We show that it is (generically) the only stochastic choice rule that satisfies Regularity and two new simple properties: Constant Expansion (if the choice probability of an alternative is the same across two menus, then it is the same in the combined menu), and Negative Expansion (if the choice probability of an alternative is less than one and differs across two menus, then it vanishes in the combined menu). By extending the theory to menu-dependent state probabilities we are able to accommodate prominent violations of Regularity such as the attraction, similarity and compromise effects. J.E.L. codes: D03, D01

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Single-Crossing Random Utility Models

Cited by 55 publications

References 27 publications

Random intertemporal choice

Random intertemporal choice

Time Lotteries and Stochastic Impatience

Dual random utility maximisation

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