Equilibrium with signal extraction from endogenous variables
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Cites work
- An expository note on individual risk without aggregate uncertainty
- Analysis of recursive stochastic algorithms
- Convergence of least squares learning mechanisms in self-referential linear stochastic models
- scientific article; zbMATH DE number 3875113 (Why is no real title available?)
- Optimal Properties of Exponentially Weighted Forecasts
- The law of large numbers with a continuum of i.i.d. random variables
- Time to Build and Aggregate Fluctuations
Cited in
(25)- Dynamic portfolio choice and asset pricing with differential information
- Market efficiency and inefficiency in rational expectations equilibria. Dynamic effects of heterogeneous information and noise
- Market equilibria with endogenous, hierarchical information
- Optimal policy in a model of endogenous fluctuations and assets
- On aggregation of information in competitive markets: The dynamic case
- Fuzzy inductive reasoning, expectation formation and the behavior of security prices
- Computing posterior signals and endogenous parameters in a dealer trading network
- Signal extraction: experimental evidence
- Learning from prices: information aggregation and accumulation in an asset market
- The RPEs of RBCs and other DSGEs
- Analytic policy function iteration
- Equilibrium stability in a nonlinear cobweb model
- Modeling large societies: why countable additivity is necessary
- Learning, hypothesis testing, and rational-expectations equilibrium
- Behavioral learning equilibria
- A note on Futia (1981)'s non-existence pathology of rational expectations equilibria
- How equilibrium prices reveal information in a time series model with disparately informed, competitive traders
- A model of near-rational exuberance
- Forecasting the forecasts of others: implications for asset pricing
- Models of information aggregation in financial markets: a review
- LEARNING TO FORECAST AND CYCLICAL BEHAVIOR OF OUTPUT AND INFLATION
- Behavioral learning equilibria in New Keynesian models
- Rational expectations models with higher-order beliefs
- Indicator variables for optimal policy under asymmetric information
- Are hyperinflation paths learnable?
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