Learning About Learning in Dynamic Economic Models

David Andrew Kendrick (), Hans M Amman () and Marco P. Tucci ()

No 08-20, Working Papers from Utrecht School of Economics

Abstract: This chapter of the Handbook of Computational Economics is mostly about research on active learning and is confined to discussion of learning in dynamic models in which the systems equations are linear, the criterion function is quadratic and the additive noise terms are Gaussian. Though there is much work on learning in more general systems, it is useful here to focus on models with these specifications since more general systems can be approximated in this way and since much of the early work on learning has been done with these quadratic-linear-gaussian systems. We begin with what has been learned about learning in dynamic economic models in the last few decades. Then we progress to a discussion of what we hope to learn in the future from a new project that is just getting underway. However before doing either of these it is useful to provide a short description of the mathematical framework that will be used in the chapter.

Keywords: Active learning; dual control; optimal experimentation; stochastic optimization; time-varying parameters; forward looking variables; numerical experiments. (search for similar items in EconPapers)
JEL-codes: C63 E61 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-cmp, nep-hpe and nep-mac
Date: 2008-08
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