Journal
JOURNAL OF ECONOMETRICS
Volume 162, Issue 1, Pages 6-17Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2009.10.004
Keywords
Risk; Risk preferences; Identification; Stochastic technology
Ask authors/readers for more resources
The concept of parameter identification (for a given specification) is differentiated from global identification (which specification is right). First-order conditions for production under risk are shown to admit many alternative specification pairs representing risk preferences and either perceived price risk, production risk, or the deterministic production structure. Imposing an arbitrary specification on any of the latter three determines which risk preference specification fits a given dataset, undermining global identification even when parameter identification is suggested by typical statistics. This lack of identification is not relaxed by increasing the number of observations. Critical implications for estimation of mean-variance specifications are derived. (C) 2009 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available