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Persistence, patience and costly information acquisition

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  • Benjamin Davies

Abstract

A forward-looking agent observes signals of a state that follows a Gaussian AR(1) process. He chooses the signals' precisions sequentially, balancing their marginal cost and informativeness. I characterize his optimal learning strategy, and analyze his steady-state posterior beliefs and welfare. Higher persistence can tighten or loosen these beliefs, but always lowers welfare due to endogenously higher information costs. In contrast, higher patience raises welfare because the agent receives more information from his past selves.

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  • Benjamin Davies, 2026. "Persistence, patience and costly information acquisition," Papers 2603.11453, arXiv.org.
    • Handle: RePEc:arx:papers:2603.11453
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    References listed on IDEAS

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    1. Luciano Pomatto & Philipp Strack & Omer Tamuz, 2018. "The Cost of Information: The Case of Constant Marginal Costs," Papers 1812.04211, arXiv.org, revised Feb 2023.
    2. Benjamin Davies, 2024. "Learning about a changing state," Papers 2401.03607, arXiv.org, revised Jan 2026.
    3. Weber, Thomas A. & Nguyen, Viet Anh, 2018. "A linear-quadratic Gaussian approach to dynamic information acquisition," European Journal of Operational Research, Elsevier, vol. 270(1), pages 260-281.
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