When are adaptive expectations rational? A generalization

Ben Shepherd

Economics Letters, 2012, vol. 115, issue 1, 4-6

Abstract: This note presents a simple generalization of the adaptive expectations mechanism in which the learning parameter is time variant. Expectations generated in this way minimize mean squared forecast errors for any linear state space model.

Keywords: Adaptive expectations; Rational expectations; Kalman filter (search for similar items in EconPapers)
JEL-codes: C22 C53 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:1:p:4-6

DOI: 10.1016/j.econlet.2011.11.017

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