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

long memoryNew Keynesian Phillips curverecursive least squaresdecreasing gain learning

Mathematics Subject Classification ID

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

Recommendations

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• 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

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
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• Exact local Whittle estimation of fractional integration
• Gaussian semiparametric estimation of long range dependence
• Generating schemes for long memory processes: regimes, aggregation and linearity
• 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
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing Models of Low-Frequency Variability
• Varieties of long memory models

Cited in

(8)

• Perpetual learning and apparent long memory
• Two-step estimation in linear regressions with adaptive learning
• Long memory via networking
• Path dependence in models with fading memory or adaptive learning
• Robust testing for explosive behavior with strongly dependent errors
• Estimation and inference in adaptive learning models with slowly decreasing gains
• Generating univariate fractional integration within a large VAR(1)
• How helpful is a long memory on financial markets?

Describes a project that uses

Uses Software

• longmemo
• itsmr

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