Self-Confirming Equilibrium and Model Uncertainty

• 成果类型: Article
• 署名作者: Battigalli, Pierpaolo; Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, Massimo
• 署名单位: Bocconi University; Bocconi University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20130930
• 发表日期: 2015
• 页码: 646-677
• 关键词: Ambiguity; INFORMATION; games; nash

摘要

We analyze a notion of self-confirming equilibrium with non-neutral ambiguity attitudes that generalizes the traditional concept. We show that the set of equilibria expands as ambiguity aversion increases. The intuition is quite simple: by playing the same strategy in a stationary environment, an agent learns the implied distribution of payoffs, but alternative strategies yield payoffs with unknown distributions; increased aversion to ambiguity makes such strategies less appealing. In sum, a kind of status quo bias emerges; in the long run, the uncertainty related to tested strategies disappears, but the uncertainty implied by the untested ones does not.