Learning from learners
Traditional macroeconomic learning algorithms are misspecified when all agents are learning simultaneously. In this paper, we produce a number of learning algorithms that do not share this failing, and show that this enables them to learn almost any solution, for any parameters, implying learning cannot be used for equilibrium selection. As a by-product, we are able to show that when all agents are learning by traditional methods, all deep structural parameters of standard new-Keynesian models are identified, overturning a key result of Cochrane (2009; 2011). This holds irrespective of whether the central bank is following the Taylor principle, irrespective of whether the implied path is or is not explosive, and irrespective of whether agentsâ€™ beliefs converge. If shocks are observed then this result is trivial, so following Cochrane (2009) our analysis is carried out in the more plausible case in which agents do not observe shocks.
|Date of creation:||Oct 2012|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (01483) 259380
Fax: (01483) 259548
Web page: http://www.surrey.ac.uk/economics/
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.:
- Ellison, Martin & Pearlman, Joseph, 2011.
Journal of Economic Theory,
Elsevier, vol. 146(4), pages 1500-1519, July.
- Pearlman, Joseph & Currie, David & Levine, Paul, 1986. "Rational expectations models with partial information," Economic Modelling, Elsevier, vol. 3(2), pages 90-105, April.
- John H. Cochrane, 2009.
"Can Learnability Save New-Keynesian Models?,"
NBER Working Papers
15459, National Bureau of Economic Research, Inc.
- Paul Levine & Joseph Pearlman & George Perendia & Bo Yang, 2010.
"Endogenous Persistence in an Estimated DSGE Model under Imperfect Information,"
School of Economics Discussion Papers
0310, School of Economics, University of Surrey.
- Paul Levine & Joseph Pearlman & George Perendia & Bo Yang, 2012. "Endogenous Persistence in an estimated DSGE Model Under Imperfect Information," Economic Journal, Royal Economic Society, vol. 122(565), pages 1287-1312, December.
- Paul Levine & Joseph Pearlman & George Perendia & Bo Yang, 2010. "Endogenous Persistence in an Estimated DSGE Model under Imperfect Information," CDMA Working Paper Series 201002, Centre for Dynamic Macroeconomic Analysis.
- Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-11, July.
- Gabrielsen, Arne, 1978. "Consistency and identifiability," Journal of Econometrics, Elsevier, vol. 8(2), pages 261-263, October.
- McCallum, Bennett T., 1983.
"On non-uniqueness in rational expectations models : An attempt at perspective,"
Journal of Monetary Economics,
Elsevier, vol. 11(2), pages 139-168.
- Bennett T. McCallum, 1981. "On Non-Uniqueness in Rational Expectations Models: An Attempt at Perspective," NBER Working Papers 0684, National Bureau of Economic Research, Inc.
- repec:dgr:uvatin:2010077 is not listed on IDEAS
- Holden, Tom, 2008. "Rational macroeconomic learning in linear expectational models," MPRA Paper 10872, University Library of Munich, Germany.
- Lubik, Thomas A. & Schorfheide, Frank, 2003. "Computing sunspot equilibria in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 273-285, November.
When requesting a correction, please mention this item's handle: RePEc:sur:surrec:1512. 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: (Alex Mandilaras)
If references are entirely missing, you can add them using this form.