Joint Estimation of Risk Preferences and Technology: Flexible Utility or Futility?
通过思想实验，研究能否从农业生产数据中精确估计风险厌恶结构，发现典型生产数据难以识别风险厌恶结构，且灵活效用设定会略微恶化技术参数估计。
Abstract A thought experiment is designed to investigate whether the structure of risk aversion (i.e., the changes in absolute or relative risk aversion associated with changes in wealth) can be estimated with reasonable precision from agricultural production data. Findings strongly suggest that typical production data are unlikely to allow identification of the structure of risk aversion. A flexible‐utility parameterization is found to slightly worsen technology parameter estimates. Results also indicate that even under a restricted‐utility specification, utility parameter estimates are biased. Further, their quality is much worse when shocks are not large or samples are small.