Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87537
Authors: 
Christopeit, Norbert
Massmann, Michael
Year of Publication: 
2013
Series/Report no.: 
Tinbergen Institute Discussion Paper 13-111/III
Abstract: 
This paper investigates the asymptotic properties of the ordinary least squares (OLS) estimator of structural parameters in a stylised macroeconomic model in which agents are boundedly rational and use an adaptive learning rule to form expectations of the endogenous variable. In particular, when the learning recursion is subject to so-called decreasing gain sequences the model does not satisfy, in general, any of the sufficient conditions for consistent estimability available in the literature. The paper demonstrates that, for appropriate parameter sets, the OLS estimator nevertheless remains strongly consistent and asymptotically normally distributed.
Subjects: 
non-stationary regression
strong consistency
asymptotic normality
bounded rationality
adaptive learning
JEL: 
C22
C51
D83
Document Type: 
Working Paper

Files in This Item:
File
Size
863.49 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.