Economics at your fingertips  

Stationarity of Econometric Learning with Bounded Memory and a Predicted State Variable

Tatiana Damjanovic (), Šarūnas Girdėnas () and Keqing Liu ()

No 1502, Discussion Papers from University of Exeter, Department of Economics

Abstract: In this paper, we consider a model where producers set their prices based on their prediction of the aggregated price level and an exogenous variable, which can be a demand or a cost-push shock. To form their expectations, they use OLS-type econometric learning with bounded memory. We show that the aggregated price follows the random coefficient autoregressive process and we prove that this process is covariance stationary.

Keywords: econometric learning; bounded memory; random coefficient autoregressive process; stationarity. (search for similar items in EconPapers)
JEL-codes: C22 C53 C62 D83 E31 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
Journal Article: Stationarity of econometric learning with bounded memory and a predicted state variable (2015) Downloads
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:

Access Statistics for this paper

More papers in Discussion Papers from University of Exeter, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sebastian Kripfganz ().

Page updated 2022-07-28
Handle: RePEc:exe:wpaper:1502