Limit Points of Endogenous Misspecified Learning
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10.3982-ECTA18508.pdf
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489.51 KB
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Author(s)
Fudenberg, Drew
Lanzani, Giacomo
Strack, Philipp
Date Issued
May 2021
Journal
Econometrica
Publisher
The Econometric Society
Citation
Fudenberg, Drew, Lanzani, Giacomo and Strack, Philipp. 2021. "Limit Points of Endogenous Misspecified Learning." Econometrica, 89 (3).
Version
Author's final manuscript
Abstract
We study how an agent learns from endogenous data when their prior belief is misspecified. We show that only uniform Berk–Nash equilibria can be long‐run outcomes, and that all uniformly strict Berk–Nash equilibria have an arbitrarily high probability of being the long‐run outcome for some initial beliefs. When the agent believes the outcome distribution is exogenous, every uniformly strict Berk–Nash equilibrium has positive probability of being the long‐run outcome for any initial belief. We generalize these results to settings where the agent observes a signal before acting.
MIT Department
Massachusetts Institute of Technology. Department of Economics
Terms of Use
Creative Commons Attribution-Noncommercial-Share Alike
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DOI of Published Version
https://doi.org/10.3982/ecta18508
