Title of article
Inferenceinmodelswithadaptivelearning
Author/Authors
Guillaume Chevillon، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
11
From page
341
To page
351
Abstract
Identificationofstructuralparametersinmodelswithadaptivelearningcanbeweak,
causingstandardinferenceprocedurestobecomeunreliable.Learningalsoinduces
persistentdynamics,andthismakesthedistributionofestimatorsandteststatistics
non-standard.ValidinferencecanbeconductedusingtheAnderson–Rubinstatistic
with appropriatechoiceofinstruments.Applicationofthismethodtoatypicalnew
Keynesiansticky-pricemodelwithperpetuallearningdemonstratesitsusefulnessin
practice
Keywords
Weak identificationPersistenceAnderson–Rubin statisticDSGE models
Journal title
Journal of Monetary Economics
Serial Year
2010
Journal title
Journal of Monetary Economics
Record number
846395
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