Mostafavi, Moeen and Fatehi, Ali-Reza and Shakouri G., Hamed and Von zur Muehlen, Peter (2011): A predictive multi-agent approach to model systems with linear rational expectations. Forthcoming in:
Download (120kB) | Preview
Expectation formation plays a principal role in economic systems. We examine and revise the standard rational expectations (RE) model, generally taken as the best paradigm for expectations modelling, and suggest a new method to model rational expectations. Conventional conditions that assert the stability and uniqueness of popular solution methods are shown to be insufficient. The agent-based new modelling approach suggested in this paper will be shown to lead to uniquely stable solutions.
|Item Type:||MPRA Paper|
|Original Title:||A predictive multi-agent approach to model systems with linear rational expectations|
|English Title:||A predictive multi-agent approach to model systems with linear rational expectations|
|Keywords:||Rational expectation, Predictive control, Economics dynamic|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation
D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D84 - Expectations ; Speculations
C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling
C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
|Depositing User:||Moeen Mostafavi|
|Date Deposited:||27. Nov 2012 13:27|
|Last Modified:||25. Sep 2015 06:07|
Blanchard, OJ, and CM Kahn, 1980, The solution of linear difference models under rational expectations, Econometrica 48, 1305-1311.
Branson, WH, 1989, Macroeconomic theory and policy.
Bullard, J, and K Mitra, 2007, Determinacy, learnability, and monetary policy inertia, JOURNAL OF MONEY CREDIT AND BANKING 39, 1177.
Cho, S, and BT McCallum, 2009, Another weakness of “determinacy” as a selection criterion for. Rational expectations models, Economics Letters 104, 17-19.
Evans, GW, and S Honkapohja, 2001. Learning and expectations in macroeconomics (Princeton Univ Pr).
Evans, GW, and S Honkapohja, 2008, Learning and macroeconomics.
Mostafavi, Moeen, Hamed Shakouri.G., and Alireza Fatehi, 2010, Why the determinacy condition is a weak criterion in rational expectations models., International conference on Business and Economics Research.
Muth, JF, 1961, Rational expectations and the theory of price movements, Econometrica: Journal of the Econometric Society 29, 315-335.
Onatski, A, 2006, Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models, Journal of Economic Dynamics and Control 30, 323-345.
Sims, CA, 2002, Solving linear rational expectations models, Computational Economics 20, 1-20.
Sims, CA, 2007, On the genericity of the winding number criterion for linear rational expectations models.
Skogestad, S, I Postlethwaite, and Inc NetLibrary, 2001. Multivariable feedback control: Analysis and design (Wiley New York).
Tetlow, RJ, and P Von zur Muehlen, 2009, Robustifying learnability, Journal of Economic Dynamics and Control 33, 296-316.
Uhlig, H, 1999, A toolkit for analyzing nonlinear dynamic stochastic models easily, Computational methods for the study of dynamic economies 30–61.