Estimation and inference in models with multiple behavioural equilibria

Alexander Mayer and Davide Raggi

Papers from arXiv.org

Abstract: We develop estimation and inference methods for a macroeconomic model with potentially multiple behavioural equilibria, where agents form expectations using a constant-gain learning rule. We discuss identification, estimation, and inference for the structural parameters and propose uniform confidence bands for the equilibria. When equilibrium solutions are repeated, mixed convergence rates and non-standard limit distributions emerge. Monte Carlo simulations and an empirical application illustrate the finite-sample performance of our methods.

Date: 2025-12, Revised 2026-09
New Economics Papers: this item is included in nep-ecm
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