کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
957149 | 928511 | 2006 | 32 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Intrinsic heterogeneity in expectation formation
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We introduce the concept of Misspecification Equilibrium to dynamic macroeconomics. Agents choose between a list of misspecified econometric models and base their selection on relative forecast performance. A Misspecification Equilibrium is a stochastic process in which agents forecast optimally given their choices, with forecast model parameters and predictor proportions endogenously determined. Under appropriate conditions, the Misspecification Equilibrium will exhibit Intrinsic Heterogeneity, in which all predictors are used at all times, even in the neoclassical limit in which only the most successful predictors are used. This equilibrium is attainable under least-squares learning and dynamic predictor selection based on average profits.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Theory - Volume 127, Issue 1, March 2006, Pages 264-295
Journal: Journal of Economic Theory - Volume 127, Issue 1, March 2006, Pages 264-295
نویسندگان
William A. Branch, George W. Evans,