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Optimal collection of information by partially informed agents (with comments by M. Feldman, J. Rust and reply). (English) Zbl 0718.62282

Summary: Statistical decision theory is an area of intersection of economics and statistics, but it is not an area in which econometricians are typically well-trained or in which we do research (there are notable exceptions). Recent research on the economics of information and learning uses techniques from statistical decision theory and from asymptotic estimation theory. This is an area in which econometricians can make a contribution and should take an interest. After all, the demand for econometrics is a derived demand, driven by the demand for information. This paper provided an econometrician’s introduction to current research on optimal accumulation of information.

MSC:

62P20 Applications of statistics to economics
62C99 Statistical decision theory