When are adaptive expectations rational? A generalization

DOI10.1016/J.ECONLET.2011.11.017zbMATH Open1242.91145OpenAlexW1984603565MaRDI QIDQ433699FDOQ433699

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

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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)

Cites Work

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

Cited In (4)

• 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
• The rational expectation hypothesis, time-varying parameters and adaptive control. A promising combination?

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