We show that rational inattention theory of Sims (2003) provides a rationalization of choice models a la Luce and gives a structural interpretation to probability curvature parameters as reecting costs of processing information. We use data from a behavioral experiment to show that people behave according to predictions of the theory. We estimate attitudes to risk and costs of information for individual participants and document overwhelming heterogeneity in these parameters among a relatively homogeneous sample of people. We characterize, both theoretically and empirically, the aggregation biases this heterogeneity implies and nd these biases to be substantial. JEL: D81, D03, C91, C44. Keywords: Discrete Choice, Behavioral Experiments, Shannons Information Theory, Rational Inattention. Anton Cheremukhin: Federal Reserve Bank of Dallas, 2200 N Pearl St, Dallas TX 75201, chertosha@gmail.com, 214-922-6785. Anna Popova: University of Illinois at UrbanaChampaign, 603 East Daniel St, Champaign, IL 61820, apopova2@illinois.edu. Antonella Tutino: Federal Reserve Bank of Dallas, 2200 N Pearl St, Dallas TX 75201, tutino.antonella@gmail.com, 214-922-6804. We are grateful to Michel Regenwetter for access to the data, encouragement and helpful comments. We also thank Tony Marley and Duncan Luce for questions and suggestions which helped improve the draft of the paper. All remaining errors are our own. Annas work and data collection were supported by National Science Foundation grant SES # 08-20009 (PI: M. Regenwetter, University of Illinois at Urbana-Champaign), entitled A Quantitative Behavioral Framework for Individual and Social Choice, awarded by the Decision, Risk and Management Science Program. Any opinions, ndings, and conclusions or recommendations expressed in this publication are those of the authors and do not necessarily reect the views of their colleagues, the National Science Foundation, the University of Illinois, the Federal Reserve Bank of Dallas or the Federal Reserve System. First draft: July 15, 2011.