Investigating Generalizations of Expected Utility Theory Using Experimental Data

• Published in: Econometrica Vol. 62; no. 6; pp. 1291 - 1326
• Main Authors: Hey, John D., Orme, Chris
• Format: Journal Article
• Language: English
• Published: Malden, MA Econometric Society 01.11.1994; Blackwell; George Banta Pub. Co. for the Econometric Society; Blackwell Publishing Ltd
• Subjects: Ambivalence; Applied sciences; Datasets; Decision theory. Utility theory; Econometrics; Economic theory; Economic utility; Estimating techniques; Estimation theory; Exact sciences and technology; Expected utility; Expected values; Experiments; Mathematical independent variables; Nutzen; Operational research and scientific management; Operational research. Management science; Parametric models; Preferences; Regret; Risiko; Schätztheorie; Statistical methods; Studies; Theorie; Utility functions; Utility models; Utility theory; Weighting functions; Risk; Computer program; Econometrics; Likelihood ratio test
• ISSN: 0012-9682; 1468-0262
• DOI: 10.2307/2951750

A number of generalizations of the expected utility preference functional are estimated using experimentally generated data involving 100 pairwise choice questions repeated on two separate occasions. Likelihood ratio tests are conducted to investigate the statistical superiority of the various generalizations, and the Akaike information criterion is used to distinguish between them. The economic superiority of the various generalizations is also explored and the paper concludes that, for many subjects, the superiority of several of the generalizations is not established.