Internet Appendix for Learning about Consumption Dynamics

This Internet Appendix for Learning about Consumption Dynamics contains addi-tional information about the Bayesian \u85ltering methodology used (particle \u85ltering and the numerical solutions to the asset pricing models in the paper, as well as additional results and robustness tests. The sections are organized as follows: I. Econometrics: explaining the particle \u85lter methodology II. Prior estimation: explaining the methodology for estimating the priors used in the paper III. Numerical solution methodology: anticipated utility case IV. Numerical solution methodology: priced parameter uncertainty case V. Robustness A. Look-ahead priors. I.e., priors for 1947Q1 centered at the postwar sample ML parame-ter estimates. B. Accounting for time-averaging of the consumption data VI. Additional results A. Additional graphs for the time-paths of parameter beliefs from the main case B. Additional results from the case of learning using additional GDP dat