Learning, hypothesis testing, and rational-expectations equilibrium

Thomas Norman

Games and Economic Behavior, 2015, vol. 90, issue C, 93-105

Abstract: Foster and Young (2003) provide a model of learning by hypothesis testing that spends almost all of the time approximating Nash equilibria of a repeated game. Here I extend this learning model to a macroeconomic setting, where agents' decisions are informed by hypotheses they hold regarding the economy. They periodically test these hypotheses against observed data, and replace them if they fail. Under certain conditions, agents who learn in this way spend a large fraction of the time approximating rational-expectations equilibria.

Keywords: Rational-expectations equilibrium; Learning; Hypothesis testing (search for similar items in EconPapers)
JEL-codes: D83 D84 E00 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0899825615000263
Full text for ScienceDirect subscribers only

Related works:
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: https://EconPapers.repec.org/RePEc:eee:gamebe:v:90:y:2015:i:c:p:93-105

DOI: 10.1016/j.geb.2014.12.006

Access Statistics for this article

Games and Economic Behavior is currently edited by E. Kalai

More articles in Games and Economic Behavior from Elsevier
Bibliographic data for series maintained by Catherine Liu ().