Advanced Search
MyIDEAS: Login to save this paper or follow this series

"Do We Follow Others when We Should? A Simple Test of Rational Expectations": Comment

Contents:

Author Info

  • Anthony Ziegelmeyer

    ()
    (Max Planck Institute of Economics, Jena)

  • Christoph March

    ()
    (Paris School of Economics)

  • Sebastian Krügel

    ()
    (Max Planck Institute of Economics, Jena, IMPRS "Uncertainty")

Abstract

Weizsäcker (2010) estimates the payoff of actions to test rational expectations and to measure the success of social learning in information cascade experiments. He concludes that participants perform poorly when learning from others and that rational expectations are violated. We show that his estimated payoffs rely on estimates of the publicly known prior and signal qualities which may lead the formulated test of rational expectations to generate false positives. We rely on the true values of the prior and signal qualities to estimate the payoff of actions. We confirm that the rational expectations hypothesis is rejected, but we measure a much larger success of social learning.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://pubdb.wiwi.uni-jena.de/pdf/wp_2012_006.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics in its series Jena Economic Research Papers with number 2012-006.

as in new window
Length:
Date of creation: 20 Feb 2012
Date of revision:
Handle: RePEc:jrp:jrpwrp:2012-006

Contact details of provider:
Postal: Carl-Zeiss-Strasse 3, 07743 JENA
Phone: +049 3641/ 9 43000
Fax: +049 3641/ 9 43000
Web page: http://www.jenecon.de
More information through EDIRC

Related research

Keywords: Information Cascades; Laboratory Experiments; Quantal Response Equilibrium;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Rosenthal, Robert W, 1989. "A Bounded-Rationality Approach to the Study of Noncooperative Games," International Journal of Game Theory, Springer, Springer, vol. 18(3), pages 273-91.
  2. Richard Mckelvey & Thomas Palfrey, 1998. "Quantal Response Equilibria for Extensive Form Games," Experimental Economics, Springer, Springer, vol. 1(1), pages 9-41, June.
  3. Mathias Drehmann & Joerg Oechssler & Andreas Roider, 2002. "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Experimental, EconWPA 0210001, EconWPA.
  4. John Shea, 1997. "Instrument Relevance in Multivariate Linear Models: A Simple Measure," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 348-352, May.
  5. Jonathan Alevy & Michael Haigh & John List, 2005. "Information cascades: Evidence from a field experiment with financial market professionals," Framed Field Experiments, The Field Experiments Website 00116, The Field Experiments Website.
  6. Fahr, René & Irlenbusch, Bernd, 2011. "Who follows the crowd—Groups or individuals?," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 80(1), pages 200-209.
  7. Marco Cipriani & Antonio Guarino, 2005. "Herd Behavior in a Laboratory Financial Market," American Economic Review, American Economic Association, American Economic Association, vol. 95(5), pages 1427-1443, December.
  8. Georg Weizsacker, 2010. "Do We Follow Others When We Should? A Simple Test of Rational Expectations," American Economic Review, American Economic Association, American Economic Association, vol. 100(5), pages 2340-60, December.
  9. Dominitz, Jeff & Hung, Angela A., 2009. "Empirical models of discrete choice and belief updating in observational learning experiments," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 69(2), pages 94-109, February.
  10. Angela A. Hung & Charles R. Plott, 2001. "Information Cascades: Replication and an Extension to Majority Rule and Conformity-Rewarding Institutions," American Economic Review, American Economic Association, American Economic Association, vol. 91(5), pages 1508-1520, December.
  11. Kübler, Dorothea & Weizsäcker, Georg, 2000. "Limited depth of reasoning and failure of cascade formation in the laboratory," SFB 373 Discussion Papers 2001,3, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  12. Christoph March & Sebastian Krügel & Anthony Ziegelmeyer, 2012. "Do We Follow Private Information when We Should? Laboratory Evidence on Naive Herding," PSE Working Papers halshs-00671378, HAL.
  13. Frederic Koessler & Anthony Ziegelmeyer & Juergen Bracht & Eyal Winter, 2008. "Fragility of Information Cascades: An Experimental Study using Elicited Beliefs," Jena Economic Research Papers, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics 2008-094, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.
  14. repec:wop:humbsf:2001-3 is not listed on IDEAS
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Christoph March & Sebastian Krügel & Anthony Ziegelmeyer, 2012. "Do We Follow Private Information when We Should? Laboratory Evidence on Nave Herding," Jena Economic Research Papers, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics 2012-002, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.

Lists

This item is featured on the following reading lists or Wikipedia pages:
  1. Do We Follow Others When We Should? A Simple Test of Rational Expectations: Comment (AER 2013) in ReplicationWiki

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:jrp:jrpwrp:2012-006. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Markus Pasche).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.