When are adaptive expectations rational? A generalization

DOI10.1016/J.ECONLET.2011.11.017MaRDI QIDQ433699zbMATH OpenOpenAlexFDO

Authors Ben L. Shepherd

Publication date 6 July 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/34644/1/MPRA_paper_34644.pdf

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

• Optimal Properties of Exponentially Weighted Forecasts
• Time series analysis by state space methods

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(4)

• The rational expectation hypothesis, time-varying parameters and adaptive control. A promising combination?
• Sunspot-driven fat tails: a note
• Generalized adaptive expectations revisited
• Aggregation Over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Continuous Time

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