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Rational macroeconomic learning in linear expectational models

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  • Holden, Tom

Abstract

The partial information rational expectations solution to a general linear multivariate expectational macro-model is found when agents are uncertain about the true values of the model’s parameters. Necessary and sufficient conditions for convergence to the full information rational expectations solution are given, and the core of an algorithm for the Bayesian updating of beliefs is provided. In the course of this a new class of full information rational expectations equilibria is described and some of its desirable properties proven.

Suggested Citation

  • Holden, Tom, 2008. "Rational macroeconomic learning in linear expectational models," MPRA Paper 10872, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:10872
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    Cited by:

    1. Tom Holden, 2012. "Learning from learners," School of Economics Discussion Papers 1512, School of Economics, University of Surrey.

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    More about this item

    Keywords

    Rational Expectations; Partial information; Bayesian learning; Generalized Schur decomposition; Sunspots; Indeterminacy; Feasible Rational Expectations Equilibria;
    All these keywords.

    JEL classification:

    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General

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