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Stochastic gradient learning in the cobweb model

We consider the effects of replacing least squares learning by stochastic gradient learning in the multivariate "Cobweb" model. Are the stability conditions altered? For this model, we show global convergence of stochastic gradient learning to the unique rational expectations equilibrium provided the E-stability condition is satisfied.

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File URL: http://www.sciencedirect.com/science/article/B6V84-3Y8WGMK-C/2/58dd2c0de53ff298cf3e3d01af01e86c
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 61 (1998)
Issue (Month): 3 (December)
Pages: 333-337

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Handle: RePEc:eee:ecolet:v:61:y:1998:i:3:p:333-337
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Barucci, Emilio & Landi, Leonardo, 1997. "Least mean squares learning in self-referential linear stochastic models," Economics Letters, Elsevier, vol. 57(3), pages 313-317, December.
  2. Bray, Margaret M & Savin, Nathan E, 1986. "Rational Expectations Equilibria, Learning, and Model Specification," Econometrica, Econometric Society, vol. 54(5), pages 1129-60, September.
  3. Kuan, Chung-Ming & White, Halbert, 1994. "Adaptive Learning with Nonlinear Dynamics Driven by Dependent Processes," Econometrica, Econometric Society, vol. 62(5), pages 1087-1114, September.
  4. George W. Evans & Seppo Honkapohja, . "Economic Dynamics with Learning: New Stability Results," Computing in Economics and Finance 1997 51, Society for Computational Economics.
  5. Marcet, Albert & Sargent, Thomas J., 1989. "Convergence of least squares learning mechanisms in self-referential linear stochastic models," Journal of Economic Theory, Elsevier, vol. 48(2), pages 337-368, August.
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