Knightian decision theory and econometric inferences

• 成果类型: Article
• 署名作者: Bewley, Truman F.
• 署名单位: Yale University; Yale University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2010.12.012
• 发表日期: 2011
• 页码: 1134-1147
• 关键词: Confidence Regions; Bayesian analysis; Knight; incomplete preferences; Choice under uncertainty

摘要

An uncertainty averse Knightian decision maker has a set of probability distributions over outcomes and chooses something other than the status quo only if the change increases the expected payoff according to all the distributions. It is possible to define a standardized degree of uncertainty aversion. To each such degree, there corresponds a set of prior distributions over the parameters of a Gaussian linear regression model, these priors being centered on a uniform prior. The set of posterior means corresponding to this set of priors has the same properties as a standard confidence region. (C) 2011 Elsevier Inc. All rights reserved.