文档介绍：Informational Herding and Optimal
Experimentation∗
Lones Smith† Peter Sørensen‡
Economics Dept., Nuffield College, Oxford
October 30, 1997
Abstract
We explore the constrained efficient observational learning model — as when
individuals care about essors, or are so induced by an informationally-
constrained social planner. We find that when the herding externality is cor-
rectly internalized in this fashion, incorrect herds still obtain.
To describe behaviour in this model, we exhibit a set of indices that capture
the privately estimated social value of every action. The optimal decision
rule is simply: Choose the action with the highest index. While they have
the flavour of Gittins indices, they also incorporate the potential to signal to
essors. We then apply these indices to establish a parative static,
that the set of stationary ‘cascade’ beliefs strictly shrinks as the planner grows
more patient. We also show how these indices yield a set of history-dependent
transfer payments that decentralize the constrained social optimum.
The lead inspiration for the paper is our proof that informational herding
is but a special case of myopic single person experimentation. In other words,
the incorrect herding e is not a new phenomenon, but rather just the
familiar failure plete learning in an optimal experimentation problem.
∗A briefer paper without the index rules and associated results appeared under the title “Informational
Herding as Experimentation D´ej`a Vu.” Still earlier, the proposed mapping appeared in July 1995 as a
later section in panion paper, “Pathological es of Observational Learning.” We thank
Abhijit Banerjee, Meg Meyer, Christopher Wallace, and seminar participants at the MIT theory lunch, the
Stockholm School of Economics, the Stony Brook Summer Festival on Game Theory (1996), Copenhagen
University, and the 1997 European Winter Meeting of the Econometric Society (Lisbon) ments on
various versions. Smith