Belief Identification by Proxy

• 成果类型: Article; Early Access
• 署名作者: Tsakas, Elias
• 署名单位: Maastricht University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdaf025
• 发表日期: 2025
• 关键词: subjective probabilities; elicitation; INFORMATION; preferences; definition; insurance; utility

摘要

It is well-known that individual beliefs cannot be identified using traditional choice data, unless we exogenously assume state-independent utilities. In this paper, I propose a novel methodology that solves this long-standing identification problem in a simple way. This method relies on extending the state space by introducing a proxy, for which the agent has no stakes conditional on the original state space. The latter allows us to identify the agent's conditional beliefs about the proxy given each state realization, which in turn suffices for indirectly identifying her beliefs about the original state space. This approach is analogous to the one of instrumental variables in econometrics. Similarly to instrumental variables, the appeal of this method comes from the flexibility in selecting a proxy.