Learning can generate long memory

DOI10.1016/J.JECONOM.2017.01.001zbMath1456.62185OpenAlexW3123718831MaRDI QIDQ2294508

Sophocles Mavroeidis, Guillaume Chevillon

Publication date: 11 February 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:21b3fbd1-aef4-4ef8-8b3e-9e4411490b99

zbMATH Keywords

recursive least squareslong memoryNew Keynesian Phillips curvedecreasing gain learning

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Perpetual learning and apparent long memory ⋮ Two-step estimation in linear regressions with adaptive learning ⋮ Estimation and inference in adaptive learning models with slowly decreasing gains ⋮ Robust testing for explosive behavior with strongly dependent errors ⋮ Generating univariate fractional integration within a large VAR(1)

Uses Software

• itsmr
• longmemo

Cites Work

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