Random Choice and Private Information

• 成果类型: Article
• 署名作者: Lu, Jay
• 署名单位: University of California System; University of California Los Angeles
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA12821
• 发表日期: 2016
• 页码: 1983-2027
• 关键词: REPRESENTATION THEOREM; rational inattention; temporal resolution; preference; flexibility; uncertainty; logit

摘要

We consider an agent who chooses an option after receiving some private information. This information, however, is unobserved by an analyst, so from the latter's perspective, choice is probabilistic or random. We provide a theory in which information can be fully identified from random choice. In addition, the analyst can perform the following inferences even when information is unobservable: (1) directly compute ex ante valuations of menus from random choice and vice versa, (2) assess which agent has better information by using choice dispersion as a measure of informativeness, (3) determine if the agent's beliefs about information are dynamically consistent, and (4) test to see if these beliefs are well-calibrated or rational.