Learning with Bounded Memory in Stochastic Models
AbstractLearning with bounded memory in stochastic frameworks is incomplete in the sense that the learning dynamics cannot converge to an rational expectations equilibrium (REE). The properties of the dynamics arising from such rules are studied for models with steady states. If in standard linear models the REE is in a certain sense expectationally stable (E-stable), then the dynamics are asymptotically stationary and forecasts are unbiased. We also provide similar local results for a class of nonlinear models with small noise and their approximations.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Economics, University of York in its series Discussion Papers with number 00/42.
Date of creation:
Date of revision:
Contact details of provider:
Postal: Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom
Phone: (0)1904 323776
Fax: (0)1904 323759
Web page: http://www.york.ac.uk/economics/
More information through EDIRC
Bounded memory; expectational stability; unbiased.;
Other versions of this item:
- Honkapohja, S. & Mitra, K., 1999. "Learning with Bounded Memory in Stochastic Models," University of Helsinki, Department of Economics 456, Department of Economics.
- Kaushik Mitra & Seppo Honkapohja, 1999. "Learning with Bounded Memory in Stochastic Models," Computing in Economics and Finance 1999 221, Society for Computational Economics.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Grandmont Jean-michel & Laroque G, 1990. "Economic dynamics with learning : some instability examples," CEPREMAP Working Papers (Couverture Orange) 9007, CEPREMAP.
- Brock, W.A. & Hommes, C.H., 1996.
"A Rational Route to Randomness,"
9530r, Wisconsin Madison - Social Systems.
- Balasko, Yves & Royer, Daniel, 1996. "Stability of Competitive Equilibrium with Respect to Recursive and Learning Processes," Journal of Economic Theory, Elsevier, vol. 68(2), pages 319-348, February.
- Mitra, K., 1999.
"Is More Data Better?,"
University of Helsinki, Department of Economics
452, Department of Economics.
- Kaushik Mitra, 2004. "Is more data better?," Royal Holloway, University of London: Discussion Papers in Economics 04/19, Department of Economics, Royal Holloway University of London, revised Jul 2004.
- Kaushik Mitra, . "Is more data better?," Discussion Papers 00/44, Department of Economics, University of York.
- Bullard James, 1994.
Journal of Economic Theory,
Elsevier, vol. 64(2), pages 468-485, December.
- Grandmont Jean-michel & Laroque Guy, 1985.
"Stability of cycles and expectations,"
CEPREMAP Working Papers (Couverture Orange)
- Evans, George W. & Honkapohja, Seppo, 1999. "Learning dynamics," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 7, pages 449-542 Elsevier.
- Marcet, Albert & Nicolini, Juan Pablo, 1998.
"Recurrent Hyperinflations and Learning,"
CEPR Discussion Papers
1875, C.E.P.R. Discussion Papers.
- Albert Marcet & Juan P. Nicolini, 1995. "Recurrent hyperinflations and learning," Economics Working Papers 244, Department of Economics and Business, Universitat Pompeu Fabra, revised Nov 2001.
- Marcet, A. & Nicolini, J.P., 1997. "Recurrent Hyperinflations and Learning," Papers 9721, Centro de Estudios Monetarios Y Financieros-.
- George W. Evans & Seppo Honkapohja, 1993. "Adaptive forecasts, hysteresis, and endogenous fluctuations," Economic Review, Federal Reserve Bank of San Francisco, pages 3-13.
- Evans George W. & Guesnerie Roger, 1993.
"Rationalizability, Strong Rationality, and Expectational Stability,"
Games and Economic Behavior,
Elsevier, vol. 5(4), pages 632-646, October.
- Evans, G.W. & Guesnerie, R., 1992. "Rationalizability, Strong Rationality and Expectational Stability," DELTA Working Papers 92-03, DELTA (Ecole normale supérieure).
- Grandmont, Jean-Michel, 1985. "On Endogenous Competitive Business Cycles," Econometrica, Econometric Society, vol. 53(5), pages 995-1045, September.
- Evans, George, 1985. "Expectational Stability and the Multiple Equilibria Problem in Linear Rational Expectations Models," The Quarterly Journal of Economics, MIT Press, vol. 100(4), pages 1217-33, November.
- Evans, George W & Honkapohja, Seppo, 1995. "Local Convergence of Recursive Learning to Steady States and Cycles in Stochastic Nonlinear Models," Econometrica, Econometric Society, vol. 63(1), pages 195-206, January.
- George W. Evans & Seppo Honkapohja, 2000. "Convergence for difference equations with vanishing time-dependence, with applications to adaptive learning," Economic Theory, Springer, vol. 15(3), pages 717-725.
- Jean-Michel Grandmont, 1998. "Expectations Formation and Stability of Large Socioeconomic Systems," Econometrica, Econometric Society, vol. 66(4), pages 741-782, July.
- Evans George W. & Honkapohja Seppo, 1994. "On the Local Stability of Sunspot Equilibria under Adaptive Learning Rules," Journal of Economic Theory, Elsevier, vol. 64(1), pages 142-161, October.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Paul Hodgson).
If references are entirely missing, you can add them using this form.