Eliciting Multiple Prior Beliefs

Abstract

Despite the increasing importance of multiple priors in various domains of economics and the significant theoretical advances concerning them, choice-based incentive-compatible multiple-prior elicitation largely remains an open problem. This paper develops a solution, comprising a preference-based identification of a subject’s probability interval for an event, and two procedures for eliciting it. The method does not rely on specific assumptions about subjects’ ambiguity attitudes or probabilistic sophistication. To demonstrate its feasibility, we implement it in two incentivized experiments to elicit the multiple-prior equivalent of subjects’ cumulative distribution functions over continuous-valued sources of uncertainty. We find a predominance of non-degenerate probability intervals among subjects for all explored sources, with intervals being wider for less familiar sources. Finally, we use our method to undertake the first elicitation of the mixture coefficient in the Hurwicz α-maxmin EU model that fully controls for beliefs.

Keywords: Multiple Priors, Belief Measurement, α-maxmin EU, Imprecise Probability

JEL Classification: D81