haku: @author Kelly, D. L. / yhteensä: 3
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| Tekijä: | Kelly, D. L. Shorish, J. |
| Otsikko: | Stability of Functional Rational Expectations Equilibria |
| Lehti: | Journal of Economic Theory
2000 : DEC, VOL. 95:2, p. 215-250 |
| Asiasana: | EQUILIBRIUM THEORY EQUILIBRIUM ANALYSIS FORECASTING MODELS |
| Kieli: | eng |
| Tiivistelmä: | In this paper the authors examine a representative agent forecasting prices in a first-order self-referential overlapping generations model. The authors first consider intermediate stage learning, where agents update the forecasting rule every m periods. They show that, in theory and simulations, the learning rule does not converge to the rational expectations equilibrium (REE). The authors next consider two stage learning, where agents learn the functional mapping between the current forecast function and the previous forecast function. Furthermore, the authors demonstrated that neural networks can be part of a learning algorithm which learns both TEFs and functional mapping. The authors show that in theory and simulations the two stage learning rule converges to the REE. |
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