Estimating Learning Models with Experimental Data
AbstractWe study the statistical properties of three estimation methods for a model of learning that is often tted to experimental data: quadratic deviation measures without unobserved heterogeneity, and maximum likelihood with and without unobserved heterogeneity. After discussing identi cation issues, we show that the estimators are consistent and provide their asymptotic distribution. Using Monte Carlo simulations, we show that ignoring unobserved heterogeneity can lead to seriously biased estimations in samples which have the typical length of actual experiments. Better small sample properties are obtained if unobserved heterogeneity is introduced. That is, rather than estimating the parameters for each individual, the individual parameters are considered random variables, and the distribution of those random variables is estimated.
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Bibliographic InfoPaper provided by Universidad Carlos III de Madrid in its series Open Access publications from Universidad Carlos III de Madrid with number info:hdl:10016/3482.
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- Camerer, Colin F. & Ho, Teck-Hua & Chong, Juin-Kuan, 2002. "Sophisticated Experience-Weighted Attraction Learning and Strategic Teaching in Repeated Games," Journal of Economic Theory, Elsevier, vol. 104(1), pages 137-188, May.
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