Rational macroeconomic learning in linear expectational models

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

Abstract

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: MPRA Paper
• Language: English
• Keywords: Rational Expectations; Partial information; Bayesian learning; Generalized Schur decomposition; Sunspots; Indeterminacy; Feasible Rational Expectations Equilibria
• Subjects: E - Macroeconomics and Monetary Economics > E0 - General > E00 - General; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C60 - General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C11 - Bayesian Analysis: General

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