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Heterogeneous Learning Dynamics and Speed of Convergence

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  • Berardi Michele

    (University of Manchester)

Abstract

In a simple, forward looking linear stochastic model we investigate the impact of heterogeneity in expectations formation on the speed of convergence of the learning process of agents towards equilibrium. We find that even when heterogeneity does not affect learnability in term of its asymptotic outcome, it can still have an important impact on the learnability of an equilibrium in terms of the speed of convergence of learning dynamics.

Suggested Citation

  • Berardi Michele, 2012. "Heterogeneous Learning Dynamics and Speed of Convergence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-20, October.
    • Handle: RePEc:bpj:sndecm:v:16:y:2012:i:4:n:6
    DOI: 10.1515/1558-3708.1899
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    References listed on IDEAS

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    1. McCallum, Bennett T., 1983. "On non-uniqueness in rational expectations models : An attempt at perspective," Journal of Monetary Economics, Elsevier, vol. 11(2), pages 139-168.
    2. Marcet, Albert & Sargent, Thomas J., 1989. "Convergence of least squares learning mechanisms in self-referential linear stochastic models," Journal of Economic Theory, Elsevier, vol. 48(2), pages 337-368, August.
    3. Berardi, Michele & Duffy, John, 2015. "Real-Time, Adaptive Learning Via Parameterized Expectations," Macroeconomic Dynamics, Cambridge University Press, vol. 19(2), pages 245-269, March.
    4. Berardi, Michele, 2007. "Heterogeneity and misspecifications in learning," Journal of Economic Dynamics and Control, Elsevier, vol. 31(10), pages 3203-3227, October.
    5. Guse, Eran A., 2005. "Stability properties for learning with heterogeneous expectations and multiple equilibria," Journal of Economic Dynamics and Control, Elsevier, vol. 29(10), pages 1623-1642, October.
    6. Ferrero, Giuseppe, 2007. "Monetary policy, learning and the speed of convergence," Journal of Economic Dynamics and Control, Elsevier, vol. 31(9), pages 3006-3041, September.
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