Time-Varying Parameters and Endogenous Learning Algorithms

Eric Gaus

Working Papers from Ursinus College, Department of Economics

Abstract: The adaptive learning has primarily focused on decreasing gain learning and constant gain learning. As pointed out theoretically by Marcet and Nicolini (2003) and empirically by Milani (2007) an endogenous learning mechanism may explain key economic behaviors, such as recurrent hyperinflation or time varying volatility. This paper evaluates the mechanism used in those papers in addition to proposing an alternative endogenous learning algorithm. The proposed algorithm outperforms the Marcet and Nicolini's algorithm in simulations and may result in exotic dynamics.

Keywords: Learning; Rational Expectations; Endogenous Learning (search for similar items in EconPapers)
JEL-codes: D83 E52 (search for similar items in EconPapers)
Pages: pages
Date: 2013-03-01
New Economics Papers: this item is included in nep-cmp and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:urs:urswps:13-02

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