Uniformly self-justified equilibria
From MaRDI portal
Abstract: We consider dynamic stochastic economies with heterogeneous agents and introduce the concept of uniformly self-justified equilibria (USJE) -- temporary equilibria for which forecasts are best uniform approximations to a selection of the equilibrium correspondence. In a USJE, individuals' forecasting functions for the next period's endogenous variables are assumed to lie in a compact, finite-dimensional set of functions, and the forecasts constitute the best approximation within this set. We show that USJE always exist and develop a simple algorithm to compute them. Therefore, they are more tractable than rational expectations equilibria that do not always exist. As an application, we discuss a stochastic overlapping generations exchange economy and provide numerical examples to illustrate the concept of USJE and the computational method.
Recommendations
- Stationary Markov equilibria on a non-compact self-justified set
- Recursive equilibria in dynamic economies with stochastic production
- Recursive equilibrium in stochastic overlapping-generations economies
- Functional rational expectations equilibria in market games
- Consistency of linear forecasts in a nonlinear stochastic economy
Cites work
- A note on the implementation of rational expectations equilibria
- A sparsity-based model of bounded rationality
- Accuracy of Numerical Solutions Using the Euler Equation Residuals
- Approximate versus Exact Equilibria in Dynamic Economies
- Barycentric-Remez algorithms for best polynomial approximation in the chebfun system
- Berk-Nash Equilibrium: A Framework for Modeling Agents With Misspecified Models
- Chebyshev multivariate polynomial approximation: alternance interpretation
- Comparison of solutions to the multi-country real business cycle model
- Computing equilibrium in OLG models with stochastic production
- DEEP EQUILIBRIUM NETS
- High-dimensional dynamic stochastic model representation
- scientific article; zbMATH DE number 3890210 (Why is no real title available?)
- scientific article; zbMATH DE number 3168214 (Why is no real title available?)
- scientific article; zbMATH DE number 1234104 (Why is no real title available?)
- scientific article; zbMATH DE number 3013686 (Why is no real title available?)
- scientific article; zbMATH DE number 5060482 (Why is no real title available?)
- Learning to be rational
- Modifications of the First Remez Algorithm
- Note on Jordan elimination, linear programming and Tchebyscheff approximation
- On the structure and diversity of rational beliefs
- Projection methods for solving aggregate growth models
- Recursive equilibria in dynamic economies with stochastic production
- RECURSIVE EQUILIBRIA IN ECONOMIES WITH INCOMPLETE MARKETS
- Recursive equilibrium in stochastic overlapping-generations economies
- Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
- Stationary Markov Equilibria
- Stationary Markov equilibria for overlapping generations
- Temporary competitive equilibrium and the existence of self-fulfilling expectations
- Temporary General Equilibrium Theory
- The elements of statistical learning. Data mining, inference, and prediction
Cited in
(3)
This page was built for publication: Uniformly self-justified equilibria
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6072253)
