| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8917 |
| DP8917 Bayesian Model Averaging, Learning and Model Selection | |
| Seppo Honkapohja; Thomas Sargent; George W. Evans; Noah Williams | |
| 发表日期 | 2012-03-01 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | Agents have two forecasting models, one consistent with the unique rational expectations equilibrium, another that assumes a time-varying parameter structure. When agents use Bayesian updating to choose between models in a self-referential system, we find that learning dynamics lead to selection of one of the two models. However, there are parameter regions for which the non-rational forecasting model is selected in the long-run. A key structural parameter governing outcomes measures the degree of expectations feedback in Muth's model of price determination. |
| 主题 | International Macroeconomics |
| 关键词 | Grain of truth Rational expectations equilibrium Time-varying perceptions |
| URL | https://cepr.org/publications/dp8917 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537747 |
| 推荐引用方式 GB/T 7714 | Seppo Honkapohja,Thomas Sargent,George W. Evans,et al. DP8917 Bayesian Model Averaging, Learning and Model Selection. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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