Expectation Formation with Correlated Variables
通过实验研究人们如何对相关变量形成预期，发现当存在相关变量时，预测准确性下降且反应不足，不符合贝叶斯学习，首次直接证明预期形成中的相关性忽视。
Abstract We experimentally study how people form expectations about correlated variables. Subjects forecast a time-series variable A. In treatment Baseline, subjects only observe past values of A. In treatment Correlated, they additionally observe a correlated variable B; A is equally predictable and has the same univariate properties in both treatments. Subjects are significantly less accurate and underreact more in Correlated, inconsistent with Bayesian learning. A structural-model estimation indicates that subjects (i) underestimate the level of correlation and (ii) are insensitive to actual correlation. Our study provides first direct evidence of correlation neglect in the domain of expectation formation.