Learnig rational expectations: The finite state case (Q1072918)

The present paper uses a model of rational expectations equilibrium as it has been constructed by the author in another paper [ibid. 28, 235-254 (1982; Zbl 0508.90016)]. As a main characteristic in this theory each agent uses at each stage private information resp. market prices to form an estimate of the probability distribution of future states. A rule for estimating this conditional distribution is called an estimation procedure. The array of estimation procedures for all agents and all stages is called an estimation scheme. As the main result of the paper the author gives a sufficient condition such that an estimation scheme is ''successful'', that is, if (for almost every sample) the estimates converge to the true conditional distribution of future states. It asserts that the traders who begin with no knowledge of the characteristics of other traders and no knowledge of the distribution of future states can learn to form correct expectations from repeated observations of prices and realized states.