Joint Estimation of Risk Preference Structure and Technology Using Expo‐Power Utility
提出一种联合估计风险偏好结构、风险厌恶程度和生产技术的方法，使用Expo-Power效用函数，并以堪萨斯州小麦农户数据验证，发现农户呈递减绝对风险厌恶和递增相对风险厌恶，且联合估计比单独估计更有效。
Abstract A method is developed to permit joint estimation of risk preference structure, degree of risk aversion, and production technology. The method is implemented using the Expo‐Power utility function, which imposes no restrictions on risk preference structure. The empirical application uses data from a sample of Kansas wheat farmers. Evidence rejects the null hypothesis of risk neutrality and suggests that Kansas farmers exhibit decreasing absolute risk aversion and increasing relative risk aversion. Results also show that combined estimation of production function parameters with the utility function parameter is more efficient than is separate estimation of each.