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Citations for "Convergence of Least-Squares Learning in Environments with Hidden State Variables and Private Information"

by Marcet, Albert & Sargent, Thomas J

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  1. Roger E.A. Farmer, 1989. "The Lucas Critique Policy Invariance and Multiple Equilibria," UCLA Economics Working Papers 551, UCLA Department of Economics.
  2. James Bullard & Kaushik Mitra, 2002. "Learning about monetary policy rules," Working Papers 2000-001, Federal Reserve Bank of St. Louis.
  3. Massaro, Domenico, 2013. "Heterogeneous expectations in monetary DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 680-692.
  4. Myles Callan & Eric Ghysels & Norman R. Swanson, 1998. "Monetary Policy Rules with Model and Data Uncertainty," CIRANO Working Papers 98s-40, CIRANO.
  5. Evans, George W. & Honkapohja, Seppo, 1998. "Convergence of learning algorithms without a projection facility," Journal of Mathematical Economics, Elsevier, vol. 30(1), pages 59-86, August.
  6. Kenneth L. Judd & Lilia Maliar & Serguei Maliar & Rafael Valero, 2013. "Smolyak Method for Solving Dynamic Economic Models: Lagrange Interpolation, Anisotropic Grid and Adaptive Domain," NBER Working Papers 19326, National Bureau of Economic Research, Inc.
  7. Seppo Honkapohja & Kaushik Mitra, 2002. "Learning Stability in Economies with Heterogenous Agents," CESifo Working Paper Series 772, CESifo Group Munich.
  8. Goldbaum, David & Panchenko, Valentyn, 2010. "Learning and adaptation's impact on market efficiency," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 635-653, December.
  9. Gaballo, G., 2012. "Good Luck or Good Policy? An Expectational Theory of Macro-Volatility Switches," Working papers 402, Banque de France.
  10. Foster, F. Douglas & Viswanathan, S., 1994. "Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(04), pages 499-518, December.
  11. David K. Levine & Aldo Rustichini, 2000. "Introduction," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(2), pages 213-215, April.
  12. Ricardo Nunes, 2005. "Learning the inflation target," Macroeconomics 0504033, EconWPA, revised 26 Apr 2005.
  13. Linn, Scott C. & Stanhouse, Bryan E., 1997. "The economic advantage of least squares learning in a risky asset market," Journal of Economics and Business, Elsevier, vol. 49(4), pages 303-319.
  14. Eric Schaling, 2004. "Learning, inflation expectations and optimal monetary policy," Macroeconomics 0404035, EconWPA.
  15. Lundtofte, Frederik, 2008. "Expected life-time utility and hedging demands in a partially observable economy," European Economic Review, Elsevier, vol. 52(6), pages 1072-1096, August.
  16. Elmar Mertens, 2008. "Managing Beliefs about Monetary Policy under Discretion?," Working Papers 08.02, Swiss National Bank, Study Center Gerzensee.
  17. Felipe Pérez, 1998. "- Private Experience In Adaptive Learning Models," Working Papers. Serie AD 1998-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  18. Peter Zadrozny, 1997. "An Econometric Analysis of Polish Inflation Dynamics with Learning about Rational Expectations," Economic Change and Restructuring, Springer, vol. 30(2), pages 221-238, May.
  19. Brock, W.A., 1995. "A Rational Route to Randomness," Working papers 9530, Wisconsin Madison - Social Systems.
  20. Naik, Narayan Y., 1997. "On aggregation of information in competitive markets: The dynamic case," Journal of Economic Dynamics and Control, Elsevier, vol. 21(7), pages 1199-1227, June.
  21. James Bullard, 1991. "Learning equilibria," Working Papers 1991-004, Federal Reserve Bank of St. Louis.
  22. Olivier Basdevant, 2003. "Learning process and rational expectations: an analysis using a small macroeconomic model for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2003/05, Reserve Bank of New Zealand.
  23. Garratt, Anthony & Hall, Stephen G., 1997. "E-equilibria and adaptive expectations: Output and inflation in the LBS model," Journal of Economic Dynamics and Control, Elsevier, vol. 21(7), pages 1149-1171, June.
  24. Fuhrer, Jeffrey C., 2010. "Inflation Persistence," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 9, pages 423-486 Elsevier.
  25. Michael W.M. Roos & Wolfgang J. Luhan, 2008. "As if or What? – Expectations and Optimization in a Simple Macroeconomic Environment," Ruhr Economic Papers 0055, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  26. Chang, M. C. & Chu, C. Y. Cyrus & Lin, Kenneth S., 1995. "A note on least-squares learning mechanism," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 1293-1296.
  27. Stefano Eusepi & Bruce Preston, 2011. "Learning the fiscal theory of the price level: some consequences of debt management policy," Staff Reports 515, Federal Reserve Bank of New York.
  28. Stefano Eusepi & Bruce Preston, 2011. "Expectations, Learning, and Business Cycle Fluctuations," American Economic Review, American Economic Association, vol. 101(6), pages 2844-72, October.
  29. James Murray, 2008. "Initial Expectations in New Keynesian Models with Learning," Caepr Working Papers 2008-017, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  30. Goldbaum, David, 2006. "Self-organization and the persistence of noise in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1837-1855.
  31. Stefano Eusepi & Bruce Preston, 2008. "Stabilizing Expectations under Monetary and Fiscal Policy Coordination," NBER Working Papers 14391, National Bureau of Economic Research, Inc.
  32. Atanas Christev, 2007. "Learning Hyperinflations," Money Macro and Finance (MMF) Research Group Conference 2006 126, Money Macro and Finance Research Group.
  33. David Goldbaum, 2004. "On the Possibility of Informationally Efficient Markets," Computing in Economics and Finance 2004 139, Society for Computational Economics.
  34. David Goldbaum, 2001. "Market Efficiency and Learning in an Endogenously Unstable Environment," Computing in Economics and Finance 2001 105, Society for Computational Economics.
  35. Kaushik Mitra & James Bullard, 2004. "Determinacy, Learnability, and Monetary Policy Inertia," Royal Holloway, University of London: Discussion Papers in Economics 04/14, Department of Economics, Royal Holloway University of London, revised Jul 2004.
  36. Bruce Preston, 2005. "Learning about Monetary Policy Rules when Long-Horizon Expectations Matter," International Journal of Central Banking, International Journal of Central Banking, vol. 1(2), September.
  37. Chryssi Giannitsarou, 2003. "Heterogeneous Learning," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 885-906, October.
  38. Massaro, D., 2012. "Regime shifts: early warnings," CeNDEF Working Papers 12-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  39. Xiao, Wei & Xu, Junyi, 2014. "Expectations and optimal monetary policy: A stability problem revisited," Economics Letters, Elsevier, vol. 124(2), pages 296-299.
  40. Cogley, Timothy & Matthes, Christian & Sbordone, Argia M., 2014. "Optimized Taylor Rules for Disinflation When Agents are Learning," Working Paper 14-7, Federal Reserve Bank of Richmond.
  41. Patrick Bajari & Ali Hortacsu, 2003. "Are Structural Estimates of Auction Models Reasonable? Evidence from Experimental Data," Working Papers 03002, Stanford University, Department of Economics.
  42. Maciej K. Dudek, 2005. "Expectation Formation and Endogenous Fluctuations in Aggregate Demand," Computing in Economics and Finance 2005 263, Society for Computational Economics.
  43. Zhou, Chunsheng, 1998. "Dynamic portfolio choice and asset pricing with differential information," Journal of Economic Dynamics and Control, Elsevier, vol. 22(7), pages 1027-1051, May.
  44. Dieppe, Alistair & Pandiella, Alberto González & Hall, Stephen & Willman, Alpo, 2013. "Limited information minimal state variable learning in a medium-scale multi-country model," Economic Modelling, Elsevier, vol. 33(C), pages 808-825.
  45. Berardi, Michele, 2012. "Strategic interactions, incomplete information and learning," MPRA Paper 38651, University Library of Munich, Germany.
  46. Aaron Tornell, 2003. "Robust-H_infinity Forecasting and Asset Pricing Anomalies (December 2001)," UCLA Economics Online Papers 237, UCLA Department of Economics.
  47. Pfajfar, D. & Zakelj, B., 2012. "Uncertainty and Disagreement in Forecasting Inflation : Evidence from the Laboratory (Revised version of CentER DP 2011-053)," Discussion Paper 2012-072, Tilburg University, Center for Economic Research.
  48. William R. Parke & George A. Waters, 2011. "On the Evolutionary Stability of Rational Expectations," Working Paper Series 20111002, Illinois State University, Department of Economics.
  49. Felipe Perez, 1997. "Private Experience in Adaptive Learning Models," Levine's Working Paper Archive 1403, David K. Levine.
  50. Murray, James, 2011. "Learning and judgment shocks in U.S. business cycles," MPRA Paper 29257, University Library of Munich, Germany.
  51. repec:dgr:kubcen:2012072 is not listed on IDEAS
  52. David K Levine & Aldo Rustichini, 2000. "Introduction: The Dynamic Games Special Issue," Levine's Working Paper Archive 2127, David K. Levine.
  53. William A. Brock & Cars H. Hommes, 1995. "Rational Routes to Randomness," Working Papers 95-03-029, Santa Fe Institute.
  54. Pfajfar, D. & Zakelj, B., 2011. "Inflation Expectations and Monetary Policy Design : Evidence from the Laboratory (Replaces CentER DP 2009-007)," Discussion Paper 2011-091, Tilburg University, Center for Economic Research.
  55. Mitra, Kaushik, 2003. " Desirability of Nominal GDP Targeting under Adaptive Learning," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(2), pages 197-220, April.
  56. Barrell, Ray & Caporale, Guglielmo Maria & Hall, Stephen & Garratt, Anthony, 1997. "Learning about monetary union: An analysis of bounded rational learning in European labor markets," Journal of Policy Modeling, Elsevier, vol. 19(5), pages 469-489, October.
  57. Schaling, E., 2003. "Learning, Inflation Reduction and Optimal Monetary Policy," Discussion Paper 2003-74, Tilburg University, Center for Economic Research.
  58. Albert Marcet & Thomas J. Sargent, 1992. "Speed of convergence of recursive least squares learning with ARMA perceptions," Economics Working Papers 15, Department of Economics and Business, Universitat Pompeu Fabra.
  59. Timothy Cogley & Christian Matthes & Argia M. Sbordone, 2011. "Optimal disinflation under learning," Staff Reports 524, Federal Reserve Bank of New York.
  60. David Goldbaum, 2004. "On the Possibility of Informationally Efficient Markets: Part b," Working Papers Rutgers University, Newark 2004-011, Department of Economics, Rutgers University, Newark.
  61. Tay, Nicholas S. P. & Linn, Scott C., 2001. "Fuzzy inductive reasoning, expectation formation and the behavior of security prices," Journal of Economic Dynamics and Control, Elsevier, vol. 25(3-4), pages 321-361, March.
  62. David Goldbaum, 2013. "Learning and Adaptation as a Source of Market Failure," Working Paper Series 14, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
  63. Elmar Mertens, 2010. "Discreet Commitments and Discretion of Policymakers with Private Information," 2010 Meeting Papers 763, Society for Economic Dynamics.
  64. Roberts, Mark A., 1997. "The effect of the time-structure of information on the expectational-stability of rational expectations," Economics Letters, Elsevier, vol. 57(2), pages 157-162, December.
  65. Evans, George W. & Honkapohja, Seppo, 1996. "Least squares learning with heterogeneous expectations," Economics Letters, Elsevier, vol. 53(2), pages 197-201, November.
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