The law of large demand for information

Econometrica

Volumn 70, Issue 6, 2002, Pages 2351-2366

  Moscarini, Giuseppe ^a   Smith, Lones ^b  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Bayesian decision theory; Comparison of experiments; Demand for information; Large deviation theory; Logarithmic demand; Value of information

Indexed keywords

ASYMPTOTIC STABILITY; COMPUTATIONAL METHODS; DECISION THEORY; MATHEMATICAL MODELS; STATISTICAL METHODS;

DEVIATION THEORY;

INDUSTRIAL ECONOMICS;

EID: 0036436642     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00378     Document Type: Article

References (19)

1. Athey, S., and J. Levin (2001): "The Value of Information in Monotone Decision Problems," Mimeo, Stanford.
2. Bahadur, R.R., and R.R. Rao (1960): "On Deviations of the Sample Mean," Annals of Mathematics and Statistics, 31, 1015-1027.
3. Blackwell, D. (1953): "Equivalent Comparison of Experiments," Annals of Mathematics and Statistics, 24, 265-272.
4. Chade, H., and E. Schlee (2001): "Another Look at the Radner-Stiglitz Non-concavity in the Value of Information," forthcoming in Journal of Economic Theory.
5. Chernoff, H. (1952): "A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the Sum of Observations," Annals of Mathematical Statistics, 23, 493-507.
6. Cramér, H. (1938): "Sur un Nouveau Théorème-limite de la Théorie des Probabilités," Actualités Scientifiques et Industrielles, No. 736. Paris: Hermann.
7. Feller (1968): An Introduction to Probability Theory and Its Applications, Vol. I. New York: John Wiley & Sons, Inc., Third Edn.
8. Le Cam, L. (1964): "Sufficiency and Approximate Sufficiency," Annals of Mathematical Statistics, 35, 1419-1455.
9. Lehmann, E.L. (1988): "Comparing Location Experiments," Annals of Statistics, 16, 521-533.
10. Mammen, E. (1986): "The Statistical Information Contained in Additional Observations," Annals of Statistics, 14, 665-678.
11. Moscarini, G., and L. Smith (2001): "The Optimal Level of Experimentation," Econometrica, 69, 1629-1644.
12. Persico, N. (2000): "Information Acquisition in Auctions," Econometrica, 68, 135-148.
13. Radner, R., and J. Stiglitz (1984): "A Nonconcavity in the Value of Information," in Bayesian Models in Economic Theory, ed. by M. Boyer and R. Kihlstrom. New York: Elsevier Science Publishers, pp. 33-52.
14. Sandroni, A. (2000): "Do Markets Favor Agents Able to Make Accurate Predictions?" Econometrica, 68, 1303-1341.
15. Schervisch, M. (1995): Theory of Statistics. New York: Springer-Verlag.
16. Shapiro, C., and H.R. Varian (1999): Information Rules: A Strategic Guide to the Network Economy. Boston, MA: Harvard Business School Press.
17. Topkis, D. (1998): Supermodularity and Complementarity. Princeton, N.J.: Princeton University Press.
18. Torgersen, E. (1981): "Measures of Information Based on Comparison with Total Information and with Total Ignorance," Annals of Statistics, 9, 638-657.
19. _ (1991): Comparison of Statistical Experiments, Vol. 36 of Encyclopedia of Mathematics and its Applications. Cambridge: Cambridge University Press.