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Abstract

We study elicitation of latent (prior) beliefs when the agent can acquire information via a costly attention strategy. We introduce a mechanism that simultaneously makes it strictly dominant to (a) not acquire any information, and (b) report truthfully. We call such a mechanism a robust scoring rule. Robust scoring rules are important for different reasons. Theoretically, they are
crucial both for establishing that decision-theoretic models under uncertainty are testable. From an applied point of view, they are needed for eliciting unbiased estimates of population beliefs. We prove that a robust scoring rule exists under mild axioms on the attention costs. These axioms are shown to characterize the class of posterior-separable cost functions. Our existence
proof is constructive, thus identifying an entire class of robust scoring rules. Subsequently, we show that we can arbitrarily approximate the agent's prior beliefs with a quadratic scoring rule. The same holds true for a discrete scoring rule. Finally, we show that the prior beliefs can be approximated, even when we are uncertain about the exact specification of the agent's attention costs.
Original languageEnglish
PublisherMaastricht University, Graduate School of Business and Economics
DOIs
Publication statusPublished - 8 Oct 2018

Publication series

SeriesGSBE Research Memoranda
Number023

JEL classifications

  • c91 - Design of Experiments: Laboratory, Individual
  • d81 - Criteria for Decision-Making under Risk and Uncertainty
  • d82 - "Asymmetric and Private Information; Mechanism Design"
  • d83 - "Search; Learning; Information and Knowledge; Communication; Belief"
  • d87 - Neuroeconomics

Keywords

  • belief elicitation
  • prior beliefs
  • rational inattention
  • hidden information costs
  • posterior-separability
  • Shannon entropy
  • population beliefs
  • testing decision-theoretic models

Cite this

Tsakas, E. (2018). Robust scoring rules. Maastricht University, Graduate School of Business and Economics. GSBE Research Memoranda, No. 023 https://doi.org/10.26481/umagsb.2018023