On learnability of Eâ€“stable equilibria
While under recursive least squares learning the dynamics of the economy converges to rational expectations equilibria (REE) which are Eâ€“stable, some recent examples propose that Eâ€“stability is not a sufficient condition for learnability. In this paper, we provide some further evidence on the conditions under which Eâ€“stability of a particular equilibrium might fail to imply its stochastic gradient (SG) or generalized SG learnability. We also claim that the requirement on the speed of convergence of the learning process imposed by  also implies that Eâ€“stable equilibria are likely to be GSG learnable. We show this in a simple â€New Keneysianâ€ model of optimal monetary policy design in which the stability of REE under SG learning. In this case, the paper gives the conditions which are necessary for reversal of learnability
|Date of creation:||04 Jul 2006|
|Date of revision:|
|Contact details of provider:|| Web page: http://comp-econ.org/|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- George W. Evans & Seppo Honkapohja & Noah Williams, 2005.
"Generalized Stochastic Gradient Learning,"
NBER Technical Working Papers
0317, National Bureau of Economic Research, Inc.
- Evans, G.W. & Honkapohja ,S. & Williams, N., 2005. "Generalized Stochastic Gradient Learning," Cambridge Working Papers in Economics 0545, Faculty of Economics, University of Cambridge.
- George W. Evans & Seppo Honkapohja & Noah Williams, 2005. "Generalized Stochastic Gradient Learning," CESifo Working Paper Series 1576, CESifo Group Munich.
- George W. Evans & Seppo Honkapohja & Noah Williams, 2005. "Generalized Stochastic Gradient Learning," University of Oregon Economics Department Working Papers 2005-17, University of Oregon Economics Department, revised 18 May 2008.
- Giuseppe Ferrero, 2004.
"Monetary policy and the transition to rational expectations,"
Computing in Economics and Finance 2004
19, Society for Computational Economics.
- Giuseppe Ferrero, 2004. "Monetary Policy and the Transition to Rational Expectations," Temi di discussione (Economic working papers) 499, Bank of Italy, Economic Research and International Relations Area.
- Giuseppe Ferrero, 2004. "Monetary Policy and the Transition to Rational Expectations," Econometric Society 2004 North American Summer Meetings 101, Econometric Society.
- 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.
- Giannitsarou, Chryssi, 2005. "E-Stability Does Not Imply Learnability," Macroeconomic Dynamics, Cambridge University Press, vol. 9(02), pages 276-287, April.
When requesting a correction, please mention this item's handle: RePEc:sce:scecfa:451. 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 references are entirely missing, you can add them using this form.