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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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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. Kuan, Chung-Ming & White, Halbert, 1994. "Adaptive Learning with Nonlinear Dynamics Driven by Dependent Processes," Econometrica, Econometric Society, Econometric Society, vol. 62(5), pages 1087-1114, September.
  2. Barucci, Emilio & Landi, Leonardo, 1997. "Least mean squares learning in self-referential linear stochastic models," Economics Letters, Elsevier, Elsevier, vol. 57(3), pages 313-317, December.
  3. George W. Evans & Seppo Honkapohja, . "Economic Dynamics with Learning: New Stability Results," Computing in Economics and Finance 1997, Society for Computational Economics 51, Society for Computational Economics.
  4. Marcet, Albert & Sargent, Thomas J., 1989. "Convergence of least squares learning mechanisms in self-referential linear stochastic models," Journal of Economic Theory, Elsevier, Elsevier, vol. 48(2), pages 337-368, August.
  5. Bray, Margaret M & Savin, Nathan E, 1986. "Rational Expectations Equilibria, Learning, and Model Specification," Econometrica, Econometric Society, Econometric Society, vol. 54(5), pages 1129-60, September.
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Cited by:
  1. Seppo Honkapohja & Kaushik Mitra, 2002. "Learning Stability in Economies with Heterogenous Agents," CESifo Working Paper Series 772, CESifo Group Munich.
  2. George W. Evans & Seppo Honkapohja & Noah Williams, 2005. "Generalized Stochastic Gradient Learning," CESifo Working Paper Series 1576, CESifo Group Munich.
  3. Atanas Christev, 2007. "Learning Hyperinflations," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group 126, Money Macro and Finance Research Group.
  4. Stéphane Gauthier, 2002. "Determinacy and Stability under Learning of Rational Expectations Equilibria," Post-Print hal-00731065, HAL.
  5. Jaqueson Galimberti & Michele Berardi, 2014. "A Note on the Representative Adaptive Learning Algorithm," KOF Working papers 14-356, KOF Swiss Economic Institute, ETH Zurich.
  6. Domenico Colucci & V. Valori, 2001. "Error learning behaviour and stability revisited," CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance 1A.1, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  7. 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, Elsevier, vol. 34(2), pages 179-190, February.

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