Generalized adaptive expectations revisited

DOI10.1016/J.ECONLET.2013.04.033MaRDI QIDQ2442396zbMATH OpenOpenAlexFDO

Authors Marco M. Sorge

Publication date 3 April 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2013.04.033

zbMATH Keywords

Kalman filterrational expectationsadaptive expectations

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

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Cites work

• Estimating the state vector of linearized DSGE models without the Kalman filter
• Evaluating the sample likelihood of linearized DSGE models without the use of the Kalman filter
• Optimal Properties of Exponentially Weighted Forecasts
• Time series analysis by state space methods
• When are adaptive expectations rational? A generalization

Cited in

(3)

• Sunspot-driven fat tails: a note
• Does near-rationality matter in first-order approximate solutions? A perturbation approach
• When are adaptive expectations rational? A generalization

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