Learning in a misspecified multivariate self-referential linear stochastic model

DOI10.1016/J.JEDC.2007.06.005MaRDI QIDQ844663zbMATH OpenOpenAlexFDO

Authors Eran A. Guse

Publication date 19 January 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://repec.org/mmf2006/up.19073.1145374289.pdf

zbMATH Keywords

monetary policy rulesseemingly unrelated regressionadaptive learningexpectational stabilityrestricted perceptions equilibria

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Rationality and learning in game theory (91A26) Heterogeneous agent models (91B69)

Recommendations

• Heterogeneity and misspecifications in learning
• Rational Expectations Equilibria, Learning, and Model Specification
• Least mean squares learning in self-referential linear stochastic models
• Stability of functional rational expectations equilibria
• Behavioral learning equilibria

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 854558 (Why is no real title available?)
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Are hyperinflation paths learnable?
• Convergence of least squares learning mechanisms in self-referential linear stochastic models
• Inflation Persistence
• LEARNING TO FORECAST AND CYCLICAL BEHAVIOR OF OUTPUT AND INFLATION
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Monetary policy and stable indeterminacy with inertia
• Monetary policy, indeterminacy and learning
• Performance of monetary policy with internal central bank forecasting
• Restricted perception equilibria and rational expectation equilibrium
• The Solution of Linear Difference Models under Rational Expectations

Cited in

(6)

• Convergence of least squares learning mechanisms in self-referential linear stochastic models
• Least squares learning with heterogeneous expectations
• Learnability of an equilibrium with private information
• Learning dynamics and nonlinear misspecification in an artificial financial market
• Learning and model validation
• Forecast combination, non-linear dynamics, and the macroeconomy

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