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Generalized adaptive expectations revisited

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  • Sorge, Marco M.

Abstract

This paper revisits the generalized adaptive expectations (GAE) mechanism presented by Shepherd (2012) [When are adaptive expectations rational? A generalization, Economics Letters, 115, 4–6]. It provides the precise conditions under which GAE hold, and also discusses its implications for the modeling of expectations in macroeconomic models.

Suggested Citation

  • Sorge, Marco M., 2013. "Generalized adaptive expectations revisited," Economics Letters, Elsevier, vol. 120(2), pages 203-205.
    • Handle: RePEc:eee:ecolet:v:120:y:2013:i:2:p:203-205
    DOI: 10.1016/j.econlet.2013.04.033
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    References listed on IDEAS

    as
    1. Kollmann, Robert, 2013. "Estimating the state vector of linearized DSGE models without the Kalman filter," Economics Letters, Elsevier, vol. 120(1), pages 65-66.
    2. Roger E. A. Farmer, 2002. "Why Does Data Reject the Lucas Critique," Annals of Economics and Statistics, GENES, issue 67-68, pages 111-129.
    3. Lucas, Robert Jr., 1972. "Expectations and the neutrality of money," Journal of Economic Theory, Elsevier, vol. 4(2), pages 103-124, April.
    4. Shepherd, Ben, 2012. "When are adaptive expectations rational? A generalization," Economics Letters, Elsevier, vol. 115(1), pages 4-6.
    5. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
    6. repec:adr:anecst:y:2002:i:67-68:p:05 is not listed on IDEAS
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    Citations

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    Cited by:

    1. Dave, Chetan & Sorge, Marco M., 2020. "Sunspot-driven fat tails: A note," Economics Letters, Elsevier, vol. 193(C).
    2. Dave, Chetan & Sorge, Marco, 2020. "Equilibrium Indeterminacy and Extreme Outcomes: A Fat Sunspot Ta(i)l(e)," Working Papers 2020-12, University of Alberta, Department of Economics.
    3. Frank Hespeler & Marco M. Sorge, 2018. "Does Near†Rationality Matter In First†Order Approximate Solutions? A Perturbation Approach," Bulletin of Economic Research, Wiley Blackwell, vol. 70(1), pages 97-113, January.
    4. Dave, Chetan & Sorge, Marco M., 2021. "Equilibrium indeterminacy and sunspot tales," European Economic Review, Elsevier, vol. 140(C).
    5. Findley, T. Scott, 2015. "Hyperbolic memory discounting and the political business cycle," European Journal of Political Economy, Elsevier, vol. 40(PB), pages 345-359.

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    More about this item

    Keywords

    Adaptive expectations; Rational expectations; Kalman filter;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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