Arbeitspapier
Estimating Structural Parameters in Regression Models with Adaptive Learning
This paper examines the ordinary least squares (OLS) estimator of the structural parameters in a class of stylised macroeconomic models in which agents are boundedly rational and use an adaptive learning rule to form expectations of the endogenous variable. The popularity of this type of model has recently increased amongst applied economists and policy makers who seek to estimate it empirically. Two prominent learning algorithms are considered, namely constant gain and decreasing gain learning. For each of the two learning rules, the analysis proceeds in two stages. First, the paper derives the asymptotic properties of agents' expectations. At the second stage, the paper derives the asymptotics of OLS in the structural model, taken the first stage learning dynamics as given. In the case of constant gain learning, the structural model effectively amounts to a static, cointegrating or co-explosiveness regression. With decreasing gain learning, the regressors are asymptotically collinear such that OLS does not satisfy, in general, the Grenander conditions for consistent estimability. Nevertheless, this paper shows that the OLS estimator remains consistent in all models considered. It also shows, however, that its asymptotic distribution, and hence any inference based upon it, may be non-standard.
- Sprache
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Englisch
- Erschienen in
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Series: Tinbergen Institute Discussion Paper ; No. 15-106/III
- Klassifikation
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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
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adaptive learning
non-stationary regression
ordinary least squares
consistency
asymptotic distribution
- Ereignis
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Geistige Schöpfung
- (wer)
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Christopeit, Norbert
Massmann, Michael
- Ereignis
-
Veröffentlichung
- (wer)
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Tinbergen Institute
- (wo)
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Amsterdam and Rotterdam
- (wann)
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2015
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Christopeit, Norbert
- Massmann, Michael
- Tinbergen Institute
Entstanden
- 2015