Belief Identification by Proxy
提出一种利用代理变量识别个体信念的新方法，解决了传统选择数据无法识别信念的长期问题，类似于计量经济学中的工具变量方法。
Abstract 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.