Adaptive Learning in Practice

Eva Carceles-Poveda () and Chryssi Giannitsarou ()

No 5627, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We analyse some practical aspects of implementing adaptive learning in the context of forward-looking linear models. In particular, we focus on how to set initial conditions for three popular algorithms, namely recursive least squares, stochastic gradient and constant gain learning. We propose three ways of initializing, one that uses randomly generated data, a second that is ad-hoc and a third that uses an appropriate distribution. We illustrate, via standard examples, that the behaviour and evolution of macroeconomic variables not only depend on the learning algorithm, but on the initial conditions as well. Furthermore, we provide a computing toolbox for analysing the quantitative properties of dynamic stochastic macroeconomic models under adaptive learning.

Keywords: adaptive learning; computational methods; least square estimations; short-run dynamics (search for similar items in EconPapers)
JEL-codes: C63 D83 E10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp, nep-evo and nep-mac
Date: 2006-04
View list of references View citations in EconPapers

Downloads: (external link)
http://www.cepr.org/pubs/dps/DP5627.asp (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Working Paper: Adaptive Learning in Practice (2004)
Journal Article: Adaptive learning in practice (2007)
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:cpr:ceprdp:5627

Ordering information: This working paper can be ordered from
http://www.cepr.org/pubs/dps/DP5627.asp

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers
Address: Centre for Economic Policy Research, 53--56 Great Sutton Street, London EC1V 0DG
Series data maintained by ().