Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/301968 
Year of Publication: 
2024
Series/Report no.: 
Working Papers No. 2024-03
Publisher: 
Banco de México, Ciudad de México
Abstract: 
This paper introduces the random discounted expected utility (RDEU) model, which we have developed as a means to deal with heterogeneous risk and time preferences. The RDEU model provides an explicit linkage between preference and choice heterogeneity. We prove it has solid comparative statics, discuss its identification, and demonstrate its computational convenience. Finally, we use two distinct experimental datasets to illustrate the advantages of the RDEU model over common alternatives for estimating heterogeneity in preferences across individuals.
Subjects: 
Heterogeneity
Risk Preferences
Time Preferences
Comparative Statics
Random Utility Models
JEL: 
C01
D01
Document Type: 
Working Paper
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