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Fragility of Asymptotic Agreement under Bayesian Learning

  • Daron Acemoglu
  • Victor Chernozhukov
  • Muhamet Yildiz

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, vanishingly small individual uncertainty about the signal distributions can lead to substantial (non-vanishing) differences in asymptotic beliefs. Under a uniform convergence assumption, we then characterize the conditions under which a small amount of uncertainty leads to significant asymptotic disagreement.

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File URL: http://www.dklevine.com/archive/refs4814577000000000139.pdf
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Paper provided by David K. Levine in its series Levine's Working Paper Archive with number 814577000000000139.

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Date of creation: 24 Feb 2009
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Handle: RePEc:cla:levarc:814577000000000139
Contact details of provider: Web page: http://www.dklevine.com/

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  1. Kurz, Mordecai, 1996. "Rational Beliefs and Endogenous Uncertainty," Economic Theory, Springer, vol. 8(3), pages 383-97, October.
  2. Matthew O. Jackson & Ehud Kalai & Rann Smorodinsky, 1999. "Bayesian Representation of Stochastic Processes under Learning: de Finetti Revisited," Econometrica, Econometric Society, vol. 67(4), pages 875-894, July.
  3. Stephen Morris, 1996. "Speculative investor behavior and learning," Working Papers 96-5, Federal Reserve Bank of Philadelphia.
  4. Daron Acemoglu & Victor Chernozhukov & Muhamet Yildiz, 2007. "Learning and Disagreement in an Uncertain World," Carlo Alberto Notebooks 48, Collegio Carlo Alberto.
  5. Harrison, J Michael & Kreps, David M, 1978. "Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations," The Quarterly Journal of Economics, MIT Press, vol. 92(2), pages 323-36, May.
  6. Kurz, Mordecai, 1994. "On the Structure and Diversity of Rational Beliefs," Economic Theory, Springer, vol. 4(6), pages 877-900, October.
  7. repec:cup:cbooks:9780521784504 is not listed on IDEAS
  8. Robert J. Aumann, 1998. "Common Priors: A Reply to Gul," Econometrica, Econometric Society, vol. 66(4), pages 929-938, July.
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