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Nonparametric Adaptive Learning with Feedback

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  • Chen, Xiaohong
  • White, Halbert

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 82 (1998)
Issue (Month): 1 (September)
Pages: 190-222

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Handle: RePEc:eee:jetheo:v:82:y:1998:i:1:p:190-222

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Web page: http://www.elsevier.com/locate/inca/622869

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References

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  1. Woodford, Michael, 1990. "Learning to Believe in Sunspots," Econometrica, Econometric Society, vol. 58(2), pages 277-307, March.
  2. Drew Fudenberg & David Kreps, 2010. "Learning Mixed Equilibria," Levine's Working Paper Archive 415, David K. Levine.
  3. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  4. V. Crawford, 2010. "Adaptive Dynamics in Coordination Games," Levine's Working Paper Archive 404, David K. Levine.
  5. Marcet, Albert & Sargent, Thomas J., 1989. "Convergence of least squares learning mechanisms in self-referential linear stochastic models," Journal of Economic Theory, Elsevier, vol. 48(2), pages 337-368, August.
  6. Evans, George W & Honkapohja, Seppo, 1995. "Local Convergence of Recursive Learning to Steady States and Cycles in Stochastic Nonlinear Models," Econometrica, Econometric Society, vol. 63(1), pages 195-206, January.
  7. Fourgeaud, Claude & Gourieroux, Christian & Pradel, Jacqueline, 1986. "Learning Procedures and Convergence to Rationality," Econometrica, Econometric Society, vol. 54(4), pages 845-68, July.
  8. 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.
  9. Shwartz, Adam & Berman, Nadav, 1989. "Abstract stochastic approximations and applications," Stochastic Processes and their Applications, Elsevier, vol. 31(1), pages 133-149, March.
  10. J. Robinson, 1969. "An Iterative Method of Solving a Game," Levine's Working Paper Archive 422, David K. Levine.
  11. Bray, Margaret M & Savin, Nathan E, 1986. "Rational Expectations Equilibria, Learning, and Model Specification," Econometrica, Econometric Society, vol. 54(5), pages 1129-60, September.
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Citations

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Cited by:
  1. In-Koo Cho & Kenneth Kasa, 2006. "Learning and Model Validation," 2006 Meeting Papers 178, Society for Economic Dynamics.
  2. Massimo Guidolin & Allan Timmerman, 2005. "Properties of equilibrium asset prices under alternative learning schemes," Working Papers 2005-009, Federal Reserve Bank of St. Louis.
  3. Xiaohong Chen & Halbert White, 2002. "Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(1), pages 1.
  4. Dennis Kristensen & Bernard Salanie, 2010. "Higher Order Improvements for Approximate Estimators," Discussion Papers 0910-15, Columbia University, Department of Economics.
  5. Sergio Pastorello & Valentin Patilea & Éric Renault, 2003. "Iterative and Recursive Estimation in Structural Non-Adaptive Models," CIRANO Working Papers 2003s-08, CIRANO.
  6. Peter Woehrmann & Willi Semmler & Martin Lettau, . "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
  7. Davide Pettenuzzo & Halbert White, 2010. "Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis," Working Papers 36, Brandeis University, Department of Economics and International Businesss School.
  8. Wenzelburger, Jan, 2006. "Learning in linear models with expectational leads," Journal of Mathematical Economics, Elsevier, vol. 42(7-8), pages 854-884, November.
  9. Wenzelburger, Jan, 2004. "Learning to predict rationally when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2075-2104, September.

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