Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: May, 2021, Volume 89, Issue 3

Limit Points of Endogenous Misspecified Learning
p. 1065-1098

Drew Fudenberg, Giacomo Lanzani, Philipp Strack

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.

Log In To View Full Content

Supplemental Material

Supplement to "Limit Points of Endogenous Misspecified Learning"

This appendix contains material not found within the manuscript.