Learning About New Eras

Michael Sampson ()
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Michael Sampson: Department of Economics Concordia University

Annals of Economics and Finance, 2023, vol. 24, issue 1, 1-12

Abstract: Non-ergodic regime changes or New Eras (wars, inventions and epidemics) create a form of parameter uncertainty that peaks at the time of the regime change and then falls as sample data is collected. This parameter uncertainty can have a large impact on economic behavior. We propose a welfare measure of the importance of this parameter uncertainty and apply it to the post World War II U.S. economy. Our results suggest it took until the middle of the 1970's before this parameter uncertainty was resolved.

Keywords: Non-ergodic Regime Changes; Bayesian Learning; Parameter Uncertainty (search for similar items in EconPapers)
JEL-codes: C11 C21 C53 E17 (search for similar items in EconPapers)
Date: 2023
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