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| Author: | Evans, G. W. Honkapohja, S. |
| Title: | Local convergence of recursive learning to steady states and cycles in stochastic nonlinear models |
| Journal: | Econometrica
1995 : JAN, VOL. 63:1, p. 195-206 |
| Index terms: | ECONOMETRIC MODELS DISTRIBUTION EQUILIBRIUM ANALYSIS |
| Language: | eng |
| Abstract: | This paper analyzes learning in nonlinear models with intrinsic uncertainty. The approach is based on recursive algorithms studied by Ljung (1977) and utilized by Marcet and Sargent (1988, 1989) and Woodford (1990). In sections 3 and 4 are established simple generically necessary and sufficient conditions for local convergence to rational expectations steady states and cycles. These turn out to be equivalent to easily computable expectational stability conditions. Due to nonlinearity the conditions depend on the distribution of the random shocks. |
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