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Estimation of Constant Gain Learning Models

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Abstract

This paper provides a concise primer on the estimation of constant gain learning models. One practical concern in the estimation procedure is the initialization of the learning parameters. The popular approach in the literature relies on a training sample to estimate these quantities. We also consider the alternative, that of estimating these alongside the other model parameters. As we show with the aid of both simulated data and real data examples, the estimates are comparable using either approach.

Suggested Citation

  • Eric Gaus & Srikanth Ramamurthy, 2012. "Estimation of Constant Gain Learning Models," Working Papers 12-01, Ursinus College, Department of Economics, revised 01 Apr 2014.
    • Handle: RePEc:urs:urswps:12-01
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    File URL: http://webpages.ursinus.edu/egaus/Research/CGL_GR.pdf
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    References listed on IDEAS

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    1. Slobodyan, Sergey & Wouters, Raf, 2012. "Learning in an estimated medium-scale DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 36(1), pages 26-46.
    2. Orphanides, Athanasios & Williams, John C., 2005. "The decline of activist stabilization policy: Natural rate misperceptions, learning, and expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 29(11), pages 1927-1950, November.
    3. Chevillon, Guillaume & Massmann, Michael & Mavroeidis, Sophocles, 2010. "Inference in models with adaptive learning," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 341-351, April.
    4. Bruce Preston, 2005. "Learning about Monetary Policy Rules when Long-Horizon Expectations Matter," International Journal of Central Banking, International Journal of Central Banking, vol. 1(2), September.
    5. McCallum, Bennett T., 1983. "On non-uniqueness in rational expectations models : An attempt at perspective," Journal of Monetary Economics, Elsevier, vol. 11(2), pages 139-168.
    6. Milani, Fabio, 2007. "Expectations, learning and macroeconomic persistence," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2065-2082, October.
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    Cited by:

    1. Berardi, Michele & Galimberti, Jaqueson K., 2017. "On the initialization of adaptive learning in macroeconomic models," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 26-53.

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    More about this item

    Keywords

    Adaptive Learning; Rational Expectations; MCMC; Bayesian Econometrics;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness

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