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Rational macroeconomic learning in linear expectational models Author info | Abstract | Publisher info | Download info | Related research | Statistics Holden, Tom
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Abstract: The partial information rational expectations solution to a general linear multivariate expectational macro-model is found when agents are uncertain about the true values of the model’s parameters. Necessary and sufficient conditions for convergence to the full information rational expectations solution are given, and the core of an algorithm for the Bayesian updating of beliefs is provided. In the course of this a new class of full information rational expectations equilibria is described and some of its desirable properties proven.
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
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Date of creation: 01 May 2008Date of revision:
Handle: RePEc:pra:mprapa:10872Contact details of provider: Postal: Schackstr. 4, D-80539 Munich, Germany Phone: +49-(0)89-2180-2219 Fax: +49-(0)89-2180-3900 Web page: http://mpra.ub.uni-muenchen.de More information through EDIRC
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Keywords: Rational Expectations ; Partial information ; Bayesian learning ; Generalized Schur decomposition ; Sunspots ; Indeterminacy ; Feasible Rational Expectations Equilibria ; Other versions of this item:
Find related papers by JEL classification: E00 - Macroeconomics and Monetary Economics - - General - - - General C60 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - General C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
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