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Learning and Information Aggregation in an Exit Game

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Discussion Papers

Discussion Papers

Learning and Information Aggregation in an Exit Game

Pauli Murto

Helsinki School of Economics and HECER and

Juuso Välimäki

Helsinki School of Economics, University of Southampton, CEPR and HECER

Discussion Paper No. 235 September 2008 ISSN 1795-0562

HECER – Helsinki Center of Economic Research, P.O. Box 17 (Arkadiankatu 7), FI-00014 University of Helsinki, FINLAND. Tel +358-9-191-28780, Fax +358-9-191-28781,

E-mailinfo-hecer@helsinki.fi, Internetwww.hecer.fi

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HECER

Discussion Paper No. 235

Learning and Information Aggregation in an Exit Game*

Abstract

We analyze information aggregation in a stopping game with uncertain common payoffs.

Players learn from their own private experiences as well as by observing the actions of other players. We give a full characterization of the symmetric mixed strategy equilibrium, and show that information aggregates in randomly occurring exit waves. Observational learning induces the players to stay in the game longer. The equilibria display aggregate randomness even for large numbers of players.

JEL Classification: C73, D81, D82, D83.

Keywords: Learning, Optimal Stopping, Dynamic Games.

Pauli Murto Juuso Välimäki

Department of Economics Department of Economics

Helsinki School of Economics Helsinki School of Economics P.O. Box 1210 (Arkadiankatu 7) P.O. Box 1210 (Arkadiankatu 7)

FI-00101 Helsinki FI-00101 Helsinki

FINLAND FINLAND

e-mail:pauli.murto@hse.fi e-mail:juuso.valimaki@hse.fi

* We would like to thank numerous seminar audiences and, in particular, the editor Larry Samuelson, three anonymous referees, Dirk Bergemann, Hikmet Gunay, Godfrey Keller, Elan Pavlov and Peter Sorensen for useful comments. An earlier version of this paper was called .Learning in a Model of Exit.

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