Bayesian Model Averaging, Learning and Model Selection
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- Mitra, Kaushik & Evans, George W. & Honkapohja, Seppo, 2012. "Baysian Model Averaging, Learning and Model Selection," SIRE Discussion Papers 2012-11, Scottish Institute for Research in Economics (SIRE).
- 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.
References listed on IDEAS
- Thomas J. Sargent & Noah Williams, 2005.
"Impacts of Priors on Convergence and Escapes from Nash Inflation,"
Review of Economic Dynamics,
Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 360-391, April.
- Thomas J. Sargent & Noah Williams, 2003. "Impacts of priors on convergence and escapes from Nash inflation," FRB Atlanta Working Paper 2003-14, Federal Reserve Bank of Atlanta.
- Timothy Cogley & Thomas J. Sargent, 2005.
"The conquest of US inflation: Learning and robustness to model uncertainty,"
Review of Economic Dynamics,
Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 528-563, April.
- Sargent, Thomas J. & Cogley, Timothy, 2005. "The conquest of U.S. inflation: learning and robustness to model uncertainty," Working Paper Series 478, European Central Bank.
- Young, H. Peyton, 2004. "Strategic Learning and its Limits," OUP Catalogue, Oxford University Press, number 9780199269181.
- In-Koo Cho & Noah Williams & Thomas J. Sargent, 2002. "Escaping Nash Inflation," Review of Economic Studies, Oxford University Press, vol. 69(1), pages 1-40.
- McGough, Bruce, 2003. "Statistical Learning With Time-Varying Parameters," Macroeconomic Dynamics, Cambridge University Press, vol. 7(01), pages 119-139, February.
- Bullard, James, 1992. "Time-varying parameters and nonconvergence to rational expectations under least squares learning," Economics Letters, Elsevier, vol. 40(2), pages 159-166, October.
- Bray, Margaret M & Savin, Nathan E, 1986. "Rational Expectations Equilibria, Learning, and Model Specification," Econometrica, Econometric Society, vol. 54(5), pages 1129-1160, September.
More about this item
Keywordsgrain of truth; rational expectations equilibrium; Time-varying perceptions;
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-03 (All new papers)
- NEP-DGE-2012-04-03 (Dynamic General Equilibrium)
- NEP-FOR-2012-04-03 (Forecasting)
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