Learning and expectations in macroeconomics:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Princeton [u.a.]
Princeton Univ. Press
2001
|
| Series: | Frontiers of economic research
|
| Subjects: | |
| Links: | http://www.loc.gov/catdir/samples/prin031/00048320.html http://www.loc.gov/catdir/toc/prin031/00048320.html http://www.loc.gov/catdir/description/prin022/00048320.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009400002&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Physical Description: | XVIII, 421 S. graph. Darst. |
| ISBN: | 0691049211 |
Staff View
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Record in the Search Index
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|---|---|
| adam_text | Contents
Preface
xv
Part I. View of the Landscape
Exp<
1.1
stations and the Learning Approach
Expectations in Macroeconomics
5
5
1.2
Two Examples
8
1.3
Classical Models of Expectation Formation
9
1.4
Learning: The New View of Expectations
12
1.5
Statistical Approach to Learning
15
1.6
A General Framework
16
1.7
Overview of the Book
19
Introduction to the Techniques
25
2.1
Introduction
25
2.2
The Cobweb Model
26
2.3
Econometric Learning
27
2.4
Expectational Stability
30
2.5
Rational vs. Reasonable Learning
32
2.6
Recursive Least Squares
32
2.7
Convergence of Stochastic Recursive Algorithms
34
2.8
Application to the Cobweb Model
37
2.9
The
Е
-Stability
Principle
39
2.10
Discussion of the Literature
43
IX
x
Contents
3
Variations on a
Theme
45
3.1
Introduction
45
3.2
Heterogeneous Expectations
45
3.3
Learning with
Constant Gain
48
3.4
Learning in Nonstochastic Models
50
3.5
Stochastic Gradient Learning
55
3.6
Learning with Misspecification
56
4
Applications
59
4.1
Introduction
59
4.2
The Overlapping Generations Model
60
4.3
A Linear Stochastic Macroeconomic Model
63
4.4
The Ramsey Model
68
4.5
The Diamond Growth Model
71
4.6
A Model with Increasing Social Returns
72
4.7
Other Models
81
4.8
Appendix
82
Part II. Mathematical Background and Tools
5
The Mathematical Background
87
5.1
Introduction
87
5.2
Difference Equations
88
5.3
Differential Equations
93
5.4
Linear Stochastic Processes
99
5.5
Markov Processes
108
5.6
Ito
Processes
110
5.7
Appendix on Matrix Algebra
115
5.8
References for Mathematical Background
118
6
Tools: Stochastic Approximation
121
6.1
Introduction
121
6.2
Stochastic Recursive Algorithms
123
6.3
Convergence: The Basic Results
128
6.4
Convergence: Further Discussion
134
6.5
Instability Results
138
6.6
Expectational Stability
140
6.7
Global Convergence
144
Contents xi
7
Further Topics in Stochastic Approximation
147
7.1
Introduction
147
7.2
Algorithms for Nonstochastic Frameworks
148
7.3
The Case of Markovian State Dynamics
154
7.4
Convergence Results for Constant-Gain Algorithms
162
7.5
Gaussian Approximation for Cases of Decreasing Gain
166
7.6
Global Convergence on Compact Domains
167
7.7
Guide to the Technical Literature
169
Part III. Learning in Linear Models
8
Univariate
Linear Models
173
8.1
Introduction
173
8.2
A Special Case
174
8.3
Е
-Stability
and Least Squares Learning: MSV Solutions
179
8.4
Е
-Stability
and Learning: The Full Class of Solutions
183
8.5
Extension
1 :
Lagged Endogenous Variables
193
8.6
Extension
2:
Models with Time-/ Dating
198
8.7
Conclusions
204
9
Further Topics in Linear Models
205
9.1
Introduction
205
9.2
Muth s Inventory Model
205
9.3
Overparameterization in the Special Case
206
9.4
Extended Special Case
211
9.5
Linear Model with Two Forward Leads
215
9.6
Learning Explosive Solutions
219
9.7
Bubbles in Asset Prices
220
9.8
Heterogeneous Learning Rules
223
10
Multi
variate
Linear Models
227
10.1
Introduction
227
10.2
MSV Solutions and Learning
229
10.3
Models with Contemporaneous Expectations
236
10.4
Real Business Cycle Model
239
10.5
Irregular REE
243
10.6
Conclusions
249
10.7
Appendix
1 :
Linearizations
249
10.8
Appendix
2:
Solution Techniques
252
xii
Contents
Part IV. Learning in Nonlinear Models
11
Nonlinear Models: Steady States
267
11.1
Introduction
267
11.2
Equilibria under Perfect Foresight
269
11.3
Noisy Steady States
269
11.4
Adaptive Learning for Steady States
273
11.5
Е
-Stability
and Learning
273
11.6
Applications
276
12
Cycles and Sunspot Equilibria
287
12.1
Introduction
287
12.2
Overview of Results
288
12.3
Deterministic Cycles
291
12.4
Noisy Cycles
293
12.5
Existence of Sunspot Equilibria
300
12.6
Learning SSEs
304
12.7
Global Analysis of Learning Dynamics
310
12.8
Conclusions
313
Part V. Further Topics
13
Misspecification and Learning
317
13.1
Learning in Misspecifi
ed
Models
317
13.2
Misspecified Policy Learning
325
13.3
Conclusions
329
14
Persistent Learning Dynamics
331
14.1
Introduction
331
14.2
Constant-Gain Learning in the Cobweb Model
333
14.3
Increasing Social Returns and Endogenous Fluctuations
337
14.4
Sargent s Inflation Model
348
14.5
Other Models with Persistent Dynamics
356
14.6
Conclusions
359
15
Extensions and Other Approaches
361
15.1
Models from Computational Intelligence
361
15.2
Alternative Gain Sequences
370
15.3
Nonparametric Learning
372
15.4
Eductive Learning
372
Contents xiii
15.5
Calculation Equilibria
376
15.6
Adaptively Rational Expectations Equilibria
378
15.7
Experimental Work
380
15.8
Some Empirical Applications
382
16
Conclusions
385
Bibliography
389
Author Index
407
Subject Index
411
|
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| id | DE-604.BV013751175 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T10:52:55Z |
| institution | BVB |
| isbn | 0691049211 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009400002 |
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| physical | XVIII, 421 S. graph. Darst. |
| publishDate | 2001 |
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| publisher | Princeton Univ. Press |
| record_format | marc |
| series2 | Frontiers of economic research |
| spellingShingle | Evans, George W. 1949- Honkapohja, Seppo 1951- Learning and expectations in macroeconomics Wirtschaft Rational expectations (Economic theory) Economics -- Methodology Economics -- Statistical methods Makroökonomie (DE-588)4037174-8 gnd Lernen (DE-588)4035408-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd Rationale Erwartung (DE-588)4121553-9 gnd |
| subject_GND | (DE-588)4037174-8 (DE-588)4035408-8 (DE-588)4114528-8 (DE-588)4121553-9 |
| title | Learning and expectations in macroeconomics |
| title_auth | Learning and expectations in macroeconomics |
| title_exact_search | Learning and expectations in macroeconomics |
| title_full | Learning and expectations in macroeconomics George W. Evans and Seppo Honkapohja |
| title_fullStr | Learning and expectations in macroeconomics George W. Evans and Seppo Honkapohja |
| title_full_unstemmed | Learning and expectations in macroeconomics George W. Evans and Seppo Honkapohja |
| title_short | Learning and expectations in macroeconomics |
| title_sort | learning and expectations in macroeconomics |
| topic | Wirtschaft Rational expectations (Economic theory) Economics -- Methodology Economics -- Statistical methods Makroökonomie (DE-588)4037174-8 gnd Lernen (DE-588)4035408-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd Rationale Erwartung (DE-588)4121553-9 gnd |
| topic_facet | Wirtschaft Rational expectations (Economic theory) Economics -- Methodology Economics -- Statistical methods Makroökonomie Lernen Mathematisches Modell Rationale Erwartung |
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