IDEAS home Printed from https://ideas.repec.org/p/kud/kuiedp/0322.html
   My bibliography  Save this paper

Adaptive Learning in Stochastic Nonlinear Models When Shocks Follow a Markov Chain

Author

Listed:
  • Seppo Honkapohja

    (University of Helsinki)

  • Kaushik Mitra

    (Royal Holloway College, University of London)

Abstract

Local convergence results for adaptive learning of stochastic steady states in nonlinear models are extended to the case where the exogenous observable variables follow a ?nite Markov chain. The stability conditions for the corresponding nonstochastic model and its steady states yield convergence for the stochastic model when shocks are suf?ciently small. The results are applied to asset pricing and to an overlapping generations model. Large shocks can destabilize learning even if the steady state is stable with small shocks.

Suggested Citation

  • Seppo Honkapohja & Kaushik Mitra, "undated". "Adaptive Learning in Stochastic Nonlinear Models When Shocks Follow a Markov Chain," Discussion Papers 03-22, University of Copenhagen. Department of Economics, revised Apr 2003.
    • Handle: RePEc:kud:kuiedp:0322
    as

    Download full text from publisher

    File URL: http://www.econ.ku.dk/english/research/publications/wp/2003/0322.pdf/
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    bounded rationality; recursive algorithms; steady state; linearization; asset pricing; overlapping generations;
    All these keywords.

    JEL classification:

    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kud:kuiedp:0322. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Hoffmann (email available below). General contact details of provider: https://edirc.repec.org/data/okokudk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.