Dynamic Choice of Information Sources

California Institute of Technology Social Science Working Paper

44 Pages Posted: 3 Nov 2016 Last revised: 6 Aug 2017

See all articles by Tatiana Mayskaya

Tatiana Mayskaya

National Research University Higher School of Economics - International College of Economics and Finance; National Research University Higher School of Economics - Faculty of Economics

Date Written: August 4, 2017

Abstract

I characterize the unique optimal learning strategy when there are two information sources, three possible states of the world, and learning is modeled as a search process. The optimal strategy consists of two phases. During the first phase, only beliefs about the state and the objective characteristics of information sources matter for the optimal choice between these sources. During the second phase, this choice also depends on how much the agent values different alternatives he has to choose from. The information sources are substitutes when each individual source is likely to reveal the state eventually and when the cost of information is low, and they are complements otherwise. Optimal delegation of information collection leads to the socially optimal outcome.

Keywords: optimal learning, sequential optimal experimental design, Poisson process, limited attention

JEL Classification: D83

Suggested Citation

Mayskaya, Tatiana, Dynamic Choice of Information Sources (August 4, 2017). California Institute of Technology Social Science Working Paper. Available at SSRN: https://ssrn.com/abstract=2863605 or http://dx.doi.org/10.2139/ssrn.2863605

Tatiana Mayskaya (Contact Author)

National Research University Higher School of Economics - International College of Economics and Finance ( email )

Pokrovski Bulvar 11, Korpus Zh, Office 715
Moscow, 109028
Russia

National Research University Higher School of Economics - Faculty of Economics ( email )

Shabolovka 26
Moscow, 119049
Russia

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