Estimating Second Order Probability Beliefs from Subjective Survival Data

Estimating Second Order Probability Beliefs from Subjective Survival Data

Based on subjective survival probability questions in the Health and Retirement Study (HRS), we use an econometric model to estimate the determinants of individual-level uncertainty about personal longevity. This model is built around the modal response hypothesis (MRH), a mathematical expression of the idea that survey responses of 0%, 50%, or 100% to probability questions indicate a high leve...

Constructing second-order data dependent probability matching priors from first-order probability matching priors

What does the crowd believe? A hierarchical approach to estimating subjective beliefs from empirical data

People’s beliefs about everyday events are both of theoretical interest in their own right and an important ingredient in model building—especially in Bayesian cognitive models of phenomena such as logical reasoning, future predictions, and language use. Here, we explore several recently used methods for measuring subjective beliefs about unidimensional contiguous properties, such as the likely...

Second-order probability matching priors

The paper considers priors obtained by ensuring approximate frequentist validity of (a) posterior quantiles, and of (b) the posterior distribution function. It is seen that, at the second order of approximation, the two approaches do not necessarily lead to identical conclusions. Examples are given to illustrate this. The role of invariance in the context of probability matching is also discussed.

Estimating Knightian Uncertainty from Survival Probability Questions on the HRS*

Since Frank Knight (1921) introduced the distinction, economists have recognized that risk is the special case of uncertainty in which probabilities are known. Based on subjective survival probability questions in the Health and Retirement Study we use an econometric model to estimate the determinants of individual-level uncertainty about personal longevity. This model is built around the Modal...