Inference in Models with Adaptive Learning
8/09/2010
By Guillaume Chevillon, ESSEC
Inference in Models with Adaptive Learning
8/09/2010
Inference in Models with Adaptive Learning
By Guillaume Chevillon, ESSEC
The purpose of this paper is to study inference in structural equations involving expectations that are modeled using adaptive learning. A growing number of studies consider adaptive learning as an alternative to rational expectations. Structural models with adaptive learning are self-referential and their dynamics are considerably more complicated than the dynamics under rational expectations. As a result, little is known about the properties of structural estimation and inference in these models.
