It is intuitive that decision-makers might have attitudes towards uncertainty just as they
might have attitudes towards risk. However, it is only recently that this intuitive notion has been
formalized and axiomatically characterized. We estimate the extent of uncertainty aversion in a
manner that is parsimonious and consistent with theory. We demonstrate that one can jointly
estimate attitudes towards uncertainty, attitudes towards risk, and subjective probabilities in a
rigorous manner. Our structural econometric model constructively demonstrates the theoretical
claims that it is possible to define uncertainty aversion in an empirically tractable manner. Our
results show that attitudes towards risk and uncertainty can be different, qualitatively and
quantitatively, and that allowing for these differences can have significant effects on inferences about
subjective probabilities
