Fragility of asymptotic agreement under Bayesian learning
By: [by] Daron Acemoglu, Victor Chernozhukov [and] Muhammet [sic] Yildiz
Contributors: Chernozhukov, Victor; Yildiz, Muhamet; Massachusetts Institute of Technology. Dept. of Economics
Series: Working paper series / Massachusetts Institute of Technology, Dept. of Economics -- working paper 08-09; Working paper (Massachusetts Institute of Technology. Dept. of Economics) -- no. 08-09.
Publisher: Massachusetts Institute of Technology, Dept. of Economics
Published: 2008
Place of publication: Cambridge, MA
Language: eng
Number of pages: 42
Description: Under the assumption that individuals know the conditional distributions of signals given the payoff-relevant parameters, existing results conclude that as individuals observe infinitely many signals, their beliefs about the parameters will eventually merge. We first show that these results are fragile when individuals are uncertain about the signal distributions: given any such model, a vanishingly small individual uncertainty about the signal distributions can lead to a substantial (non-vanishing) amount of differences between the asymptotic beliefs. We then characterize the conditions under which a small amount of uncertainty leads only to a small amount of asymptotic disagreement. According to our characterization, this is the case if the uncertainty about the signal distributions is generated by a family with "rapidly-varying tails" (such as the normal or the exponential distributions). However, when this family has "regularly-varying tails" (such as the Pareto, the log-normal, and the t-distributions), a small amount of uncertainty leads to a substantial amount of asymptotic disagreement. Keywords: asymptotic disagreement, Bayesian learning, merging of opinions. JEL Classifications: C11, C72, D83.
Notes: "March 15, 2008."

Includes bibliographical references (p. 41-42).

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