Subjective beliefs play a role in many economic decisions. There is a large theoretical
literature on the elicitation of beliefs, and an equally large empirical literature. However, there is a
gulf between the two. The theoretical literature proposes a range of procedures that can be used to
recover beliefs, but stresses the need to make strong auxiliary assumptions or “calibrating
adjustments” to elicited reports in order to recover the latent belief. With some notable exceptions,
the empirical literature seems intent on either making those strong assumptions or ignoring the need
for calibration. We make three contributions to bridge this gulf. First, we offer a general theoretical
framework in which the belief elicitation task can be viewed as an exchange of state-dependent
commodities between two traders. Second, we provide a specific elicitation procedure which has clear
counterparts in field betting environments, and that is directly motivated by our theoretical
framework. Finally, we illustrate how one can jointly estimate risk attitudes and subjective beliefs using
structural maximum likelihood methods. This allows the observer to make inferences about the
latent subjective belief, calibrating for virtually any well-specified model of choice under uncertainty.
We demonstrate our procedures with an experiment in which we elicit subjective probabilities over
three future events and one fact