TESTING BETWEEN ALTERNATIVE MODELS OF CHOICE UNDER UNCERTAINTY - COMMENT

Battaglio, Kagel, and Jiranyakul use experimental tests to compare rank-dependent expected utility (RDEU), regret theory, prospect theory, and Machina's generalized smooth preferences model. They conclude that none of these models consistently organizes the data. The purpose of this note is to point out that RDEU theory was tested in combination with a hypothesis on the choice of functional form that has been explicitly rejected by the original author of the model (Quiggin, 1982, 1987). When the original form of RDEU theory is tested, it performs quite well.