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Statistical Learning With Time-Varying Parameters

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  • McGough, Bruce

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  • McGough, Bruce, 2003. "Statistical Learning With Time-Varying Parameters," Macroeconomic Dynamics, Cambridge University Press, vol. 7(01), pages 119-139, February.
  • Handle: RePEc:cup:macdyn:v:7:y:2003:i:01:p:119-139_01
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    Cited by:

    1. Berardi, Michele & Galimberti, Jaqueson K., 2013. "A note on exact correspondences between adaptive learning algorithms and the Kalman filter," Economics Letters, Elsevier, vol. 118(1), pages 139-142.
    2. Gaballo, Gaetano, 2013. "Good luck or good policy? An expectational theory of macro volatility switches," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2755-2770.
    3. Berardi, Michele & Galimberti, Jaqueson K., 2017. "Empirical calibration of adaptive learning," Journal of Economic Behavior & Organization, Elsevier, vol. 144(C), pages 219-237.
    4. George W. Evans & Seppo Honkapohja & Thomas Sargent & Noah Williams, 2012. "Bayesian Model Averaging, Learning and Model Selection," CDMA Working Paper Series 201203, Centre for Dynamic Macroeconomic Analysis.
    5. Mathew B. Chylinski & John H. Roberts & Bruce G. S. Hardie, 2012. "Consumer Learning of New Binary Attribute Importance Accounting for Priors, Bias, and Order Effects," Marketing Science, INFORMS, vol. 31(4), pages 549-566, July.
    6. Orlando Gomes, . "Volatility, Heterogeneous Agents and Chaos," The Electronic Journal of Evolutionary Modeling and Economic Dynamics, IFReDE - Université Montesquieu Bordeaux IV.
    7. Michele Berardi & Jaqueson K Galimberti, 2017. "Smoothing-based Initialization for Learning-to-Forecast Algorithms," KOF Working papers 17-425, KOF Swiss Economic Institute, ETH Zurich.
    8. Bullard, James & Suda, Jacek, 2016. "The stability of macroeconomic systems with Bayesian learners," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 1-16.
    9. Carravetta, Francesco & Sorge, Marco M., 2013. "Model reference adaptive expectations in Markov-switching economies," Economic Modelling, Elsevier, vol. 32(C), pages 551-559.
    10. J. Huston McCulloch, 2005. "The Kalman Foundations of Adaptive Least Squares: Applications to Unemployment and Inflation," Computing in Economics and Finance 2005 239, Society for Computational Economics.
    11. Georges Prat & Remzi Uctum, 2016. "Do markets learn to rationally expect US interest rates? evidence from survey data," EconomiX Working Papers 2016-19, University of Paris Nanterre, EconomiX.

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