Learning can generate long memory

DOI10.1016/J.JECONOM.2017.01.001MaRDI QIDQ2294508zbMATH OpenOpenAlexFDO

Authors Guillaume Chevillon, Sophocles Mavroeidis

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

decreasing gain learninglong memoryNew Keynesian Phillips curverecursive least squares

Mathematics Subject Classification ID

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

Recommendations

• Perpetual learning and apparent long memory
• Exponentially fading memory learning in forward-looking economic models.
• Path dependence in models with fading memory or adaptive learning
• Learning with bounded memory in stochastic models
• Long memory via networking

Cites work

• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• Aggregation, Persistence and Volatility in a Macro Model
• An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes
• Contemporaneous aggregation of linear dynamic models in large economies
• Convergence of least squares learning mechanisms in self-referential linear stochastic models
• Exact local Whittle estimation of fractional integration
• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
• Gaussian semiparametric estimation of long range dependence
• Generating schemes for long memory processes: regimes, aggregation and linearity
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Introduction to Time Series and Forecasting
• Large sample inference for long memory processes
• Long memory and regime switching
• Long memory relationships and the aggregation of dynamic models
• Nonlinearity, nonstationarity, and thick tails: how they interact to generate persistence in memory
• Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
• Testing Models of Low-Frequency Variability
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Varieties of long memory models

Cited in

(12)

• How helpful is a long memory on financial markets?
• Perpetual learning and apparent long memory
• Generating univariate fractional integration within a large VAR(1)
• Exponentially fading memory learning in forward-looking economic models.
• Long memory via networking
• Path dependence in models with fading memory or adaptive learning
• 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
• Judgment can spur long memory
• Boosting the HP filter for trending time series with long-range dependence
• Least Squares Estimation in Nonstationary Nonlinear Cohort Panels with Learning from Experience

Describes a project that uses

Uses Software

• itsmr
• longmemo

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