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Abstract

There is by now a large literature characterising conditions under which learning schemes converge to rational expectations equilibria (REEs). It has been claimed that these results depend on the assumption of homogeneous agents and homogeneous learning. This paper analyses the stability of REEs under heterogeneous adaptative learning, for the class of self-referential linear stochastic models. Agents may differ in their initial perceptions about the evolution of the economy, the degrees of inertia in revising their expectations, or the learning rules they use. General conditions are provided for local stability of an REE. In general, it is not possible to show that stability inder homogeneous learning implies stability under heterogeenous learning. To illustrate how to apply the results, several examples are provided. (Copyright: Elsevier)

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File URL: http://dx.doi.org/10.1016/S1094-2025(03)00011-5
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Bibliographic Info

Article provided by Elsevier for the Society for Economic Dynamics in its journal Review of Economic Dynamics.

Volume (Year): 6 (2003)
Issue (Month): 4 (October)
Pages: 885-906

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Handle: RePEc:red:issued:v:6:y:2003:i:4:p:885-906

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Related research

Keywords: adaptative learning; heterogeneity; stability of equilibria;

Find related papers by JEL classification:

• D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
• C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium

References

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