The convergence of least squares learning in stochastic temporary equilibrium models

• Main Author: CHATTERJI, Shurojit
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2002
• Subjects: least squares learning; almost sure convergence; Economic Theory
• Online Access: https://ink.library.smu.edu.sg/soe_research/1882
• Institution: Singapore Management University

This paper provides conditions for the almost sure convergence of the least squares learning rule in a stochastic temporary equilibrium model, where regressions are performed on the past values of the endogenous state variable. In contrast to earlier studies, (Evans and Honkapohja, 1998; Marcent and...