The convergence of least squares learning in stochastic temporary equilibrium models

Shurojit Chatterji

Economic Theory, 2002, vol. 20, issue 4, 837-847

Abstract: This paper provides conditions for the almost sure convergence of the least squares learning rule in a stochastic temporary equilibrium model, where regressions are performed on the past values of the endogenous state variable. In contrast to earlier studies, (Evans and Honkapohja, 1998; Marcent and Sargent, 1989), which were local analyses, the dynamics are studied from a global viewpoint, which allows one to obtain an almost sure convergence result without employing projection facilities.

Keywords: Least squares learning; Almost sure convergence. (search for similar items in EconPapers)
JEL-codes: C62 D83 (search for similar items in EconPapers)
Date: 2002-03-21
Note: Received: April 7, 2001; revised version: September 5, 2001
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Citations: View citations in EconPapers (3)

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