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Revealed Bayesian expected utility with limited data

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  • Rehbeck, John

Abstract

This paper characterizes expected utility preferences with information acquisition and Bayesian updating using stochastic choice data on acts. This contrasts with research that uses state-dependent stochastic choices which is difficult to obtain outside of the laboratory. The characterization is in the spirit of the Wald-Pearce lemma and requires that there is no random deviation rule that improves ex-ante expected utility for all possible information structures consistent with the data. The result is extended to place bounds on an unknown prior and facilitate welfare comparisons in the presence of framing. These bounds are computable via linear programming. Moreover, we show that in special cases, the bounds can be found explicitly by solving a series of Bayesian persuasion games.

Suggested Citation

  • Rehbeck, John, 2023. "Revealed Bayesian expected utility with limited data," Journal of Economic Behavior & Organization, Elsevier, vol. 207(C), pages 81-95.
    • Handle: RePEc:eee:jeborg:v:207:y:2023:i:c:p:81-95
    DOI: 10.1016/j.jebo.2023.01.002
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    Cited by:

    1. Liao, Moyu, 2024. "Identification of a rational inattention discrete choice model," Journal of Econometrics, Elsevier, vol. 240(1).

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    More about this item

    Keywords

    Limited data; Bayesian updating; Information acquisition; Revealed preference;
    All these keywords.

    JEL classification:

    • D01 - Microeconomics - - General - - - Microeconomic Behavior: Underlying Principles
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General

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