Determinacy and Stability under Learning of Rational Expectations Equilibria
This paper studies relationships between the local determinacy of a stationary equilibrium in the perfect foresight dynamics, and its local stability in dynamics arising from econometric learning procedures. There is no clear links in linear scalar economieds where agents forecast only one period ahead, and with an arbitrary (fixed) number of predetermined variables.
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|Date of creation:||1999|
|Date of revision:|
|Publication status:||Published in Journal of Economic, February 2002, 102, pp. 354-374.|
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"Stability of cycles and expectations,"
CEPREMAP Working Papers (Couverture Orange)
- 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.
- Evans, G.W. & Honkapohja, S., 1998.
"Stochastic Gradient Learning in the Cobweb Model,"
University of Helsinki, Department of Economics
438, Department of Economics.
- Evans, George W., 1989. "The fragility of sunspots and bubbles," Journal of Monetary Economics, Elsevier, vol. 23(2), pages 297-317, March.
- Duffy John, 1994. "On Learning and the Nonuniqueness of Equilibrium in an Overlapping Generations Model with Fiat Money," Journal of Economic Theory, Elsevier, vol. 64(2), pages 541-553, December.
- Lucas, Robert E, Jr, 1986. "Adaptive Behavior and Economic Theory," The Journal of Business, University of Chicago Press, vol. 59(4), pages S401-26, October.
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