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Rational macroeconomic learning in linear expectational models

Holden, T (2008) Rational macroeconomic learning in linear expectational models .

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Abstract: The partial information rational expectations solution to a general linear multivariate expectational macro-model is found when agents are uncertain about the true values of the model’s parameters. Necessary and sufficient conditions for convergence to the full information rational expectations solution are given, and the core of an algorithm for the Bayesian updating of beliefs is provided. In the course of this a new class of full information rational expectations equilibria is described and some of its desirable properties proven.

Item Type: Other
Divisions : Surrey research (other units)
Authors :
Date : 1 May 2008
Uncontrolled Keywords : E00, C60, C11, Rational Expectations, Partial information, Bayesian learning, Generalized Schur decomposition, Sunspots, Indeterminacy, Feasible Rational Expectations Equilibria
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:36
Last Modified : 23 Jan 2020 10:44

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