Home > Publications . Search All . Browse All . Country . Browse PSC Pubs . PSC Report Series

PSC In The News

RSS Feed icon

Work by Bailey and Dynarski cited in NYT piece on income inequality

Pfeffer says housing bubble masked decade-long growth in household net worth inequality

House, Burgard, Schoeni et al find that unemployment and recession have contrasting effects on mortality risk

Highlights

Jeff Morenoff makes Reuters' Highly Cited Researchers list for 2014

Susan Murphy named Distinguished University Professor

Sarah Burgard and former PSC trainee Jennifer Ailshire win ASA award for paper

James Jackson to be appointed to NSF's National Science Board

Next Brown Bag


PSC Brown Bags will return in the fall

Miles Kimball photo

Imputing Risk Tolerance from Survey Responses

Publication Abstract

Kimball, Miles, Claudia R. Sahm, and Matthew D. Shapiro. 2008. "Imputing Risk Tolerance from Survey Responses." Journal of the American Statistical Association, 103(483): 1028-1038.

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 (Full Text)

PMCID: PMC2856097. (Pub Med Central)

Country of focus: United States.

Browse | Search : All Pubs | Next