Dynamically Eliciting Unobservable Information

Christopher Chambers and Nicolas Lambert

Research Papers from Stanford University, Graduate School of Business

Abstract: We answer the following question: At t = 1, an expert has (probabilistic) information about a random outcome X. In addition, the expert will obtain further information about X as time passes, up to some time t = T + 1 at which X will be publicly revealed. (How) Can a protocol be devised that induces the expert, as a strict best response, to reveal at the outset his prior assessment of both X and the information flows he anticipates and, subsequently, what information he privately receives? (The protocol can provide the expert with payoffs that depend only on the realization of X, as well as any decisions he may take.) We show that this can be done with the following sort of protocol: At the penultimate time t = T, the expert chooses a payoff function from a menu of such functions, where the menu available to him was chosen by him at time t = T - 1 from a menu of such menus, and so forth. We show that any protocol that affirmatively answers our question can be approximated by a protocol of the form described. We show how these results can be extended from discrete time to continuous time problems of this sort.

Date: 2014-02
New Economics Papers: this item is included in nep-mfd and nep-mic
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.gsb.stanford.edu/faculty-research/worki ... servable-information

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecl:stabus:3036

Access Statistics for this paper

More papers in Research Papers from Stanford University, Graduate School of Business Contact information at EDIRC.
Bibliographic data for series maintained by ().