Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning
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Cited by:
- Tom Holden, 2012. "Learning from learners," School of Economics Discussion Papers 1512, School of Economics, University of Surrey.
- Norbert Christopeit & Michael Massmann, 2012. "Strong Consistency of the Least-Squares Estimator in Simple Regression Models with Stochastic Regressors," Tinbergen Institute Discussion Papers 12-109/III, Tinbergen Institute.
- Norbert Christopeit & Michael Massmann, 2013.
"Estimating Structural Parameters in Regression Models with Adaptive Learning,"
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- Norbert Christopeit & Michael Massmann, 2015. "Estimating Structural Parameters in Regression Models with Adaptive Learning," Tinbergen Institute Discussion Papers 15-106/III, Tinbergen Institute.
- Norbert Christopeit & Michael Massmann, 2017. "Strong consistency of the least squares estimator in regression models with adaptive learning," WHU Working Paper Series - Economics Group 17-07, WHU - Otto Beisheim School of Management.
- Alexander Mayer, 2022. "Two-step estimation in linear regressions with adaptive learning," Papers 2204.05298, arXiv.org, revised Nov 2022.
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More about this item
Keywords
Adaptive learning; forecast feedback; stochastic approximation; linear regression with stochastic regressors; consistency;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2010-09-11 (Central Banking)
- NEP-ECM-2010-09-11 (Econometrics)
- NEP-FOR-2010-09-11 (Forecasting)
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