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Rational macroeconomic learning in linear expectational models

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  • Holden, Tom

Abstract

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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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 10872.

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Date of creation: 01 May 2008
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Handle: RePEc:pra:mprapa:10872

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Keywords: Rational Expectations; Partial information; Bayesian learning; Generalized Schur decomposition; Sunspots; Indeterminacy; Feasible Rational Expectations Equilibria;

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Cited by:
  1. Tom Holden, 2012. "Learning from learners," School of Economics Discussion Papers 1512, School of Economics, University of Surrey.

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