caa a22 4500 397544812 CHVBK 20180308164736.0 cr unu---uuuuu 161202e199610 xx s 000 0 eng 10.2307/2297798 doi (NATIONALLICENCE)oxford-10.2307/2297798 Learning and Convergence to a Full-Information Equilibrium are not Equivalent [Elektronische Daten] [Byoung Jun, Xavier Vives] Convergence to a full-information equilibrium (FIE) in the presence of persistent shocks and asymmetric information about an unknown payoff-relevant parameter θ is established in a classical infinite-horizon partial equilibrium linear model. It is found that, under the usual stability assumptions on the autoregressive process of shocks, convergence occurs at the rate n−1/2, where n is the number of rounds of trade, and that the asymptotic variance of the discrepancy of the full-information price and the market price is independent of the degree of autocorrelation of the shocks. This is so even though the speed of learning θ from prices becomes arbitrarily slow as autocorrelation approaches a unit root level. It follows then that learning the unknown parameter θ and convergence of the equilibrium process to the FIE are not equivalent. Moreover, allowing for non-stationary processes of shocks, the distinction takes a more stark form. Learning θ is neither necessary nor sufficient for convergence to the FIE. When the process of shocks has a unit root, convergence to the FIE occurs but θ can not be learned. When the process is sufficiently explosive and there is a positive mass of perfectly informed agents, θ is learned quickly but convergence to the FIE does not occur. © 1996 The Review of Economic Studies Limited Jun Byoung Korea University aut Vives Xavier Institut d' Anàlisi Econòmica, CSIC, Barcelona aut The Review of Economic Studies Wiley-Blackwell 63/4(1996-10), 653-674 0034-6527 63:4<653 1996 63 restud https://doi.org/10.2307/2297798 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2297798 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Jun Byoung Korea University aut NATIONALLICENCE 700 1- Vives Xavier Institut d' Anàlisi Econòmica, CSIC, Barcelona aut NATIONALLICENCE 773 0- The Review of Economic Studies Wiley-Blackwell 63/4(1996-10), 653-674 0034-6527 63:4<653 1996 63 restud Metadata rights reserved CC BY-NC-4.0 http://creativecommons.org/licenses/by-nc/4.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-oxford