It is well known that individual beliefs cannot be identified using
traditional choice data, unless we exogenously assume state-independent
utilities. In this paper, I propose a novel methodology that solves this
long-standing identification problem in a simple way. This method relies on the
extending the state space by introducing a proxy, for which the agent has no
stakes conditional on the original state space. The latter allows us to
identify the agent's conditional beliefs about the proxy given each state
realization, which in turn suffices for indirectly identifying her beliefs
about the original state space. This approach is analogous to the one of
instrumental variables in econometrics. Similarly to instrumental variables,
the appeal of this method comes from the flexibility in selecting a proxy.Comment: 22 page