Risk Attitudes, Sample Selection and Attrition in a Longitudinal Field Experiment

Longitudinal experiments allow one to evaluate the temporal stability of latent preferences, but raise concerns about sample selection and attrition that may confound inferences about temporal stability. We evaluate the hypothesis of temporal stability in risk preferences using a remarkable data set that combines sociodemographic information from the Danish Civil Registry with information on risk attitudes from a longitudinal field experiment. Our experimental design builds in explicit randomization on the incentives for participation. We show that there are significant sample selection effects on inferences about the extent of risk aversion, but that the effects of subsequent sample attrition are minimal. † Department of Risk Management & Insurance and Center for the Economic Analysis of Risk, Robinson College of Business, Georgia State University, USA (Harrison); Copenhagen Business School, Denmark, and Durham University Business School, UK (Lau). E-mail contacts: [email protected] and [email protected]. We thank the Danish Social Science Research Council for research support under project 275-08-0289 and 12-130950, the Carlsberg Foundation under grant 2008-01-0410, and John DiNardo and Justin McCrary for helpful comments.