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

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Abstract
Abstract: The partial information rational expectations solution to a general linear multivariate expectational macromodel 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 

Original Title:  Rational macroeconomic learning in linear expectational models 
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 
Item ID:  10872 
Depositing User:  Tom Holden 
Date Deposited:  03 Oct 2008 01:09 
Last Modified:  27 Sep 2019 22:25 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/10872 