IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Stochastic Consistent Expectations Equilibria

Listed author(s):
  • Cars Hommes

    (CeNDEF, University of Amsterdam)

Recently the notion of consistent expectations equilibria (CEE) was introduced in a non-linear deterministic framework with expectational feedback. Along a CEE the sample mean and sample autocorrelations of realizations of the non-linear system coincide with the mean and autocorrelations corresponding to the linear forecasting rules agents are using. Along a CEE expectations are thus self-fulfilling in a linear statistical sense. In this paper the CEE concept is generalized to a non-linear stochastic framework. A stochastic CEE occurs when the non-linear stochastic system has an invariant measure with mean and (auto)co-variances that coincide with the mean and (auto)co-variances of the linear stochastic process agents believe in. Steady state, 2-cycle as well as chaotic stochastic CEE will be discussed. Convergence of OLS and sample autocorrelation learning to these different CEE will also be discussed. Applications to the cobweb and the OLG model will be given.

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Paper provided by Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance in its series CeNDEF Workshop Papers, January 2001 with number PO1.

in new window

Date of creation: 04 Jan 2001
Handle: RePEc:ams:cdws01:po1
Contact details of provider: Postal:
Dept. of Economics and Econometrics, Universiteit van Amsterdam, Roetersstraat 11, NL - 1018 WB Amsterdam, The Netherlands

Phone: + 31 20 525 52 58
Fax: + 31 20 525 52 83
Web page:

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:ams:cdws01:po1. See general 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: (Christopher F. Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.