Title | Imputing Risk Tolerance From Survey Responses. |
Publication Type | Journal Article |
Year of Publication | 2008 |
Authors | Kimball, MS, Sahm, CR, Shapiro, MD |
Journal | J Am Stat Assoc |
Volume | 103 |
Issue | 483 |
Pagination | 1028-1038 |
Date Published | 2008 Sep 01 |
ISSN Number | 0162-1459 |
Call Number | newpubs20081205_Kimball_etal.pdf |
Abstract | Economic theory assigns a central role to risk preferences. This article develops a measure of relative risk tolerance using responses to hypothetical income gambles in the Health and Retirement Study. In contrast to most survey measures that produce an ordinal metric, this article shows how to construct a cardinal proxy for the risk tolerance of each survey respondent. The article also shows how to account for measurement error in estimating this proxy and how to obtain consistent regression estimates despite the measurement error. The risk tolerance proxy is shown to explain differences in asset allocation across households. |
DOI | 10.1198/016214508000000139 |
User Guide Notes | |
Endnote Keywords | Risk Behavior/Measurement |
Endnote ID | 19560 |
Alternate Journal | J Am Stat Assoc |
Citation Key | 7257 |
PubMed ID | 20407599 |
PubMed Central ID | PMC2856097 |
Grant List | P01 AG026571 / AG / NIA NIH HHS / United States P01 AG010179-05 / AG / NIA NIH HHS / United States R24 HD041028 / HD / NICHD NIH HHS / United States R01 AG020638-05 / AG / NIA NIH HHS / United States R01 AG020638 / AG / NIA NIH HHS / United States |