Time-Varying Parameters and Endogenous Learning Algorithms
The adaptive learning has primarily focused on decreasing gain learning and constant gain learning. As pointed out theoretically by Marcet and Nicolini (2003) and empirically by Milani (2007) an endogenous learning mechanism may explain key economic behaviors, such as recurrent hyperinflation or time varying volatility. This paper evaluates the mechanism used in those papers in addition to proposing an alternative endogenous learning algorithm. The proposed algorithm outperforms the Marcet and Nicolini's algorithm in simulations and may result in exotic dynamics.
|Date of creation:||01 Mar 2013|
|Contact details of provider:|| Postal: Ursinus College 601 East Main St. Collegeville, PA 19426|
Web page: http://webpages.ursinus.edu/ecba/
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.:
- Evans, George W. & Ramey, Garey, 2006.
"Adaptive expectations, underparameterization and the Lucas critique,"
Journal of Monetary Economics,
Elsevier, vol. 53(2), pages 249-264, March.
- Evans, George W & Ramey, Garey, 2001. "Adaptive Expectations, Underparameterization and the Lucas Critique," University of California at San Diego, Economics Working Paper Series qt41f2h196, Department of Economics, UC San Diego.
- George W. Evans & Garey Ramey, 2001. ""Adaptive Expectations, Underparameterization and the Lucas Critique," University of Oregon Economics Department Working Papers 2001-8, University of Oregon Economics Department, revised 01 Dec 2004.
- Eric Gaus, 2013.
"Robust Stability of Monetary Policy Rules under Adaptive Learning,"
Southern Economic Journal,
Southern Economic Association, vol. 80(2), pages 439-453, October.
- Eric Gaus, 2012. "Robust Stability of Monetary Policy Rules under Adaptive Learning," Working Papers 13-01, Ursinus College, Department of Economics, revised 14 Dec 2012.
- 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.
- Milani, Fabio, 2014.
"Learning and time-varying macroeconomic volatility,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 47(C), pages 94-114.
- Fabio Milani, 2007. "Learning and Time-Varying Macroeconomic Volatility," Working Papers 070802, University of California-Irvine, Department of Economics.
- John Duffy & Wei Xiao, 2007.
"The Value of Interest Rate Stabilization Policies When Agents Are Learning,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 39(8), pages 2041-2056, December.
- Duffy, John & Xiao, Wei, 2004. "The value of interest rate stabilization polices when agents are learning," Working Papers 2004-02, University of New Orleans, Department of Economics and Finance.
When requesting a correction, please mention this item's handle: RePEc:urs:urswps:13-02. 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: (Eric Gaus)
If references are entirely missing, you can add them using this form.