Learning can generate long memory

DOI10.1016/J.JECONOM.2017.01.001zbMATH Open1456.62185OpenAlexW3123718831MaRDI QIDQ2294508FDOQ2294508

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

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
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• Long memory via networking

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)

Cites Work

• Introduction to Time Series and Forecasting
• Title not available (Why is that?)
• Title not available (Why is that?)
• Gaussian semiparametric estimation of long range dependence
• Exact local Whittle estimation of fractional integration
• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Large sample inference for long memory processes
• Long memory and regime switching
• Long memory relationships and the aggregation of dynamic models
• Generating schemes for long memory processes: regimes, aggregation and linearity
• Aggregation, Persistence and Volatility in a Macro Model
• Convergence of least squares learning mechanisms in self-referential linear stochastic models
• Varieties of long memory models
• Contemporaneous aggregation of linear dynamic models in large economies
• Nonlinearity, nonstationarity, and thick tails: how they interact to generate persistence in memory
• An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes
• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
• Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
• Testing Models of Low-Frequency Variability

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?

Uses Software

• itsmr
• longmemo

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