The Multivariate Heterogeneous Preference estimator for Switching Multiple Price List data
提出了一种适用于多个切换多重价格列表（sMPL）设计的多元异质性偏好（MHP）估计量，通过蒙特卡洛积分和重要性抽样实现，模拟显示有限样本性质良好，并应用于真实数据与以往不一致估计量进行比较。
Abstract The Multiple Price List (MPL) and Switching Multiple Price List (sMPL) provide a useful framework for estimating preference parameters, most usually risk aversion, from a sample of experimental subjects or survey respondents. In this paper, we consider designs in which more than one sMPL is presented to each subject, allowing more than one preference parameter to be estimated simultanously, and we propose a consistent estimator in this setting – the Multivariate Heterogeneous Preference (MHP) estimator. Focusing on the bivariate case of two sMPLs and two preference parameters, we demonstrate that non-standard econometric techniques, namely Monte Carlo integration with importance sampling, are required to implement the MHP estimator. Via a Monte Carlo exercise, we show that our estimator has good finite-sample properties. Finally, we apply the MHP estimator to a real data set and compare the estimates to those obtained using an inconsistent estimator applied in previous studies.