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Stochastic gradient learning in the cobweb model

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  • Evans, George W.
  • Honkapohja, S.

Abstract

We consider the effects of replacing least squares learning by stochastic gradient learning in the multivariate "Cobweb" model. Are the stability conditions altered? For this model, we show global convergence of stochastic gradient learning to the unique rational expectations equilibrium provided the E-stability condition is satisfied.

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File URL: http://www.sciencedirect.com/science/article/B6V84-3Y8WGMK-C/2/58dd2c0de53ff298cf3e3d01af01e86c
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 61 (1998)
Issue (Month): 3 (December)
Pages: 333-337

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Handle: RePEc:eee:ecolet:v:61:y:1998:i:3:p:333-337

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  1. George W. Evans & Seppo Honkapohja, . "Economic Dynamics with Learning: New Stability Results," Computing in Economics and Finance 1997 51, Society for Computational Economics.
  2. Barucci, Emilio & Landi, Leonardo, 1997. "Least mean squares learning in self-referential linear stochastic models," Economics Letters, Elsevier, vol. 57(3), pages 313-317, December.
  3. Bray, Margaret M & Savin, Nathan E, 1986. "Rational Expectations Equilibria, Learning, and Model Specification," Econometrica, Econometric Society, vol. 54(5), pages 1129-60, September.
  4. Kuan, Chung-Ming & White, Halbert, 1994. "Adaptive Learning with Nonlinear Dynamics Driven by Dependent Processes," Econometrica, Econometric Society, vol. 62(5), pages 1087-1114, September.
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Cited by:
  1. Michele Berardi & Jaqueson K. Galimberti, 2012. "A note on exact correspondences between adaptive learning algorithms and the Kalman filter," Centre for Growth and Business Cycle Research Discussion Paper Series 170, Economics, The Univeristy of Manchester.
  2. Colucci, Domenico & Valori, Vincenzo, 2005. "Error learning behaviour and stability revisited," Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 371-388, March.
  3. Atanas Christev, 2007. "Learning Hyperinflations," Money Macro and Finance (MMF) Research Group Conference 2006 126, Money Macro and Finance Research Group.
  4. Kaushik Mitra & Seppo Honkapohja, 2004. "Learning Stability in Economies with Heterogenous Agents," Royal Holloway, University of London: Discussion Papers in Economics 04/17, Department of Economics, Royal Holloway University of London, revised Jul 2004.
  5. Stéphane Gauthier, 2002. "Determinacy and Stability under Learning of Rational Expectations Equilibria," Post-Print hal-00731065, HAL.
  6. Davies, Ronald B. & Shea, Paul, 2010. "Adaptive learning with a unit root: An application to the current account," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 179-190, February.
  7. Michele Berardi & Jaqueson K. Galimberti, 2012. "On the plausibility of adaptive learning in macroeconomics: A puzzling conflict in the choice of the representative algorithm," Centre for Growth and Business Cycle Research Discussion Paper Series 177, Economics, The Univeristy of Manchester.
  8. Michele Berardi & Jaqueson K. Galimberti, 2012. "On the initialization of adaptive learning algorithms: A review of methods and a new smoothing-based routine," Centre for Growth and Business Cycle Research Discussion Paper Series 175, Economics, The Univeristy of Manchester.

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