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.
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NBER Working Papers
15459, National Bureau of Economic Research, Inc.
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"Endogenous Persistence in an Estimated DSGE Model under Imperfect Information,"
School of Economics Discussion Papers
0310, School of Economics, University of Surrey.
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- 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.
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NBER Working Papers
0684, National Bureau of Economic Research, Inc.
- 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.
- repec:dgr:uvatin:2010077 is not listed on IDEAS
- Pearlman, Joseph & Currie, David & Levine, Paul, 1986. "Rational expectations models with partial information," Economic Modelling, Elsevier, vol. 3(2), pages 90-105, April.
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