Learning in a misspecified multivariate self-referential linear stochastic model

Eran Guse ()

Journal of Economic Dynamics and Control, 2008, vol. 32, issue 5, pages 1517-1542

Abstract: This paper introduces a general method to study learnability of equilibria resulting from agents using misspecified forecasting models. One can represent the actual and perceived laws of motion (PLM) as seemingly unrelated regressions and then linearly project the actual law of motion into the same class as the PLM. I present an application using the New Keynesian IS-AS model with inertia under several simple Taylor policy rules. It turns out that the results presented in Bullard and Mitra [2002. Learning about monetary policy rules. Journal of Monetary Economics 49, 1105-1129; 2005. Determinacy, Learnability, and Monetary Policy Inertia. Journal of Money, Credit, and Banking, forthcoming] are robust when agents do not include all the state variables in their forecasting models.

Date: 2008
View citations in EconPapers

Downloads: (external link)
http://www.sciencedirect.com/science/article/B6V85 ... 8f6227047fb981df3f04
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Learning in a Misspecified Multivariate Self-Referential Linear Stochastic Model (2007)
Working Paper: Learning in a Misspecified Multivariate Self-referential Linear Stochastic Model (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:eee:dyncon:v:32:y:2008:i:5:p:1517-1542

Access Statistics for this article

Journal of Economic Dynamics and Control is edited by J. Bullard, C. Chiarella, C. H. Hommes, P. N. Ireland, T. Cogley and M. Juillard

More articles in Journal of Economic Dynamics and Control from Elsevier
Series data maintained by Heidi Boesdal ().