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Learning in linear models with expectational leads

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  • Wenzelburger, Jan

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 42 (2006)
Issue (Month): 7-8 (November)
Pages: 854-884

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Handle: RePEc:eee:mateco:v:42:y:2006:i:7-8:p:854-884

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Web page: http://www.elsevier.com/locate/jmateco

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References

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  1. Evans, George W & Honkapohja, Seppo & Marimon, Ramon, 1996. "Convergence in Monetary Inflation Models with Heterogeneous Learning Rules," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1310, C.E.P.R. Discussion Papers.
  2. Laurence Broze & Ariane Szafarz, 1991. "The Econometric Analysis of Non-Uniqueness in Rational Expectations Models," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles 2013/649, ULB -- Universite Libre de Bruxelles.
  3. Kenneth A. Froot & Maurice Obstfeld, 1989. "Intrinsic Bubbles: The Case of Stock Prices," NBER Working Papers 3091, National Bureau of Economic Research, Inc.
  4. Bennett T. McCallum, 1998. "Solutions to Linear Rational Expectations Models: A Compact Exposition," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0232, National Bureau of Economic Research, Inc.
  5. B hm, Volker & Wenzelburger, Jan, 2002. "Perfect Predictions In Economic Dynamical Systems With Random Perturbations," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 6(05), pages 687-712, November.
  6. Chatterji, Shurojit & Chattopadhyay, Subir, 2000. "Global stability in spite of "local instability" with learning," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 33(2), pages 155-165, March.
  7. Bennett McCallum, 1999. "Role of the Minimal State Variable Criterion in Rational Expectations Models," International Tax and Public Finance, Springer, Springer, vol. 6(4), pages 621-639, November.
  8. Evans, George W & Honkapohja, Seppo, 1992. "On the Robustness of Bubbles in Linear RE Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(1), pages 1-14, February.
  9. Woodford, Michael, 1986. "Learning to Believe in Sunspots," Working Papers, C.V. Starr Center for Applied Economics, New York University 86-16, C.V. Starr Center for Applied Economics, New York University.
  10. 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.
  11. Hillebrand, Marten & Wenzelburger, Jan, 2006. "The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 42(4-5), pages 565-593, August.
  12. 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.
  13. Wenzelburger, Jan, 2004. "Learning to predict rationally when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(10), pages 2075-2104, September.
  14. Chen, Xiaohong & White, Halbert, 1998. "Nonparametric Adaptive Learning with Feedback," Journal of Economic Theory, Elsevier, Elsevier, vol. 82(1), pages 190-222, September.
  15. Evans, George, 1985. "Expectational Stability and the Multiple Equilibria Problem in Linear Rational Expectations Models," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 100(4), pages 1217-33, November.
  16. Evans, George & Honkapohja, Seppo, 1986. "A Complete Characterization of ARMA Solutions to Linear Rational Expectations Models," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 53(2), pages 227-39, April.
  17. Jan Wenzelburger, 2002. "Global convergence of adaptive learning in models of pure exchange," Economic Theory, Springer, Springer, vol. 19(4), pages 649-672.
  18. Giannitsarou, Chryssi, 2005. "E-Stability Does Not Imply Learnability," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 9(02), pages 276-287, April.
  19. Evans, George W., 1986. "Selection criteria for models with non-uniqueness," Journal of Monetary Economics, Elsevier, Elsevier, vol. 18(2), pages 147-157, September.
  20. Evans, George W., 1989. "The fragility of sunspots and bubbles," Journal of Monetary Economics, Elsevier, Elsevier, vol. 23(2), pages 297-317, March.
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Cited by:
  1. Bennett T. McCallum, 2002. "Consistent Expectations, Rational Expectations, Multiple-Solution Indeterminacies, and Least-Squares Learnability," NBER Working Papers 9218, National Bureau of Economic Research, Inc.
  2. Bennett T. McCallum, 2002. "The Unique Minimum State Variable RE Soluiton is E-Stable in All Well Formulated Linear Models," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 2003-25, Carnegie Mellon University, Tepper School of Business.
  3. Orlando Gomes, 2010. "Ordinary Least Squares Learning And Nonlinearities In Macroeconomics," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 24(1), pages 52-84, 02.

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