A predictive multi-agent approach to model systems with linear rational expectations
AbstractExpectation formation plays a principal role in economic systems. We examine and revise the standard rational expectations (RE) model, generally taken as the best paradigm for expectations modelling, and suggest a new method to model rational expectations. Conventional conditions that assert the stability and uniqueness of popular solution methods are shown to be insufficient. The agent-based new modelling approach suggested in this paper will be shown to lead to uniquely stable solutions.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 35351.
Date of creation: 08 Jan 2011
Date of revision: 11 Dec 2011
Rational expectation; Predictive control; Economics dynamic;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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