BELIEF MOVEMENT, UNCERTAINTY REDUCTION, AND RATIONAL UPDATING

• 成果类型: Article
• 署名作者: Augenblick, Ned; Rabin, Matthew
• 署名单位: University of California System; University of California Berkeley; Harvard University
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjaa043
• 发表日期: 2021
• 页码: 933-985
• 关键词: BAYES RULE; probability; tests; MODEL; inequalities; volatility; frequency; prices; LAW

摘要

When a Bayesian learns new information and changes her beliefs, she must on average become concomitantly more certain about the state of the world. Consequently, it is rare for a Bayesian to frequently shift beliefs substantially while remaining relatively uncertain, or, conversely, become very confident with relatively little belief movement. We formalize this intuition by developing specific measures of movement and uncertainty reduction given a Bayesian's changing beliefs over time, showing that these measures are equal in expectation and creating consequent statistical tests for Bayesianess. We then show connections between these two core concepts and four common psychological biases, suggesting that the test might be particularly good at detecting these biases. We provide support for this conclusion by simulating the performance of our test and other martingale tests. Finally, we apply our test to data sets of individual, algorithmic, and market beliefs.