Arbeitspapier
Estimating Structural Parameters in Regression Models with Adaptive Learning
This paper investigates the asymptotic properties of the ordinary least squares (OLS) estimator of structural parameters in a stylised macroeconomic model in which agents are boundedly rational and use an adaptive learning rule to form expectations of the endogenous variable. In particular, when the learning recursion is subject to so-called decreasing gain sequences the model does not satisfy, in general, any of the sufficient conditions for consistent estimability available in the literature. The paper demonstrates that, for appropriate parameter sets, the OLS estimator nevertheless remains strongly consistent and asymptotically normally distributed.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 13-111/III
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Construction and Estimation
Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- Thema
-
non-stationary regression
strong consistency
asymptotic normality
bounded rationality
adaptive learning
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Christopeit, Norbert
Massmann, Michael
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Christopeit, Norbert
- Massmann, Michael
- Tinbergen Institute
Entstanden
- 2013
Ähnliche Objekte (12)
Estimating Structural Parameters in Regression Models with Adaptive Learning
Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning
Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
Pivotal Statistics for Testing Subsets of Structural Parameters in the IV Regression Model
Interquantile Expectation Regression
The Origins of Logistic Regression
Strong consistency of the least squares estimator in regression models with adaptive learning
Modelling Issues in Kernel Ridge Regression
Asymptotic Properties of Predicted Probabilities in Discrete Regression
Financial Markets as Nonlinear Adaptive Evolutionary Systems
Visualizing the Invisible: Estimating the New Keynesian Output Gap via a Bayesian Approach
How to overcome the Jeffreys-Lindleys Paradox for Invariant Bayesian Inference in Regression Models
Estimating Structural Parameters in Regression Models with Adaptive Learning
Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning
Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
Pivotal Statistics for Testing Subsets of Structural Parameters in the IV Regression Model
Interquantile Expectation Regression
The Origins of Logistic Regression
Strong consistency of the least squares estimator in regression models with adaptive learning
Modelling Issues in Kernel Ridge Regression
Asymptotic Properties of Predicted Probabilities in Discrete Regression
Financial Markets as Nonlinear Adaptive Evolutionary Systems
Visualizing the Invisible: Estimating the New Keynesian Output Gap via a Bayesian Approach
How to overcome the Jeffreys-Lindleys Paradox for Invariant Bayesian Inference in Regression Models
Estimating Structural Parameters in Regression Models with Adaptive Learning
Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning
Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
Pivotal Statistics for Testing Subsets of Structural Parameters in the IV Regression Model
Interquantile Expectation Regression
The Origins of Logistic Regression
Strong consistency of the least squares estimator in regression models with adaptive learning
Modelling Issues in Kernel Ridge Regression
Asymptotic Properties of Predicted Probabilities in Discrete Regression
Financial Markets as Nonlinear Adaptive Evolutionary Systems
Visualizing the Invisible: Estimating the New Keynesian Output Gap via a Bayesian Approach