Learning to become rational: the case of self-referential autoregressive and non-stationary models
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | German |
| Veröffentlicht: |
Berlin u.a.
Springer
1996
|
| Schriftenreihe: | Lecture notes in economics and mathematical systems
439 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VII, 201 S. graph. Darst. |
| ISBN: | 3540612793 |
Internformat
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| 245 | 1 | 0 | |a Learning to become rational |b the case of self-referential autoregressive and non-stationary models |c Markus Zenner |
| 264 | 1 | |a Berlin u.a. |b Springer |c 1996 | |
| 300 | |a VII, 201 S. |b graph. Darst. | ||
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| 490 | 1 | |a Lecture notes in economics and mathematical systems |v 439 | |
| 502 | |a Zugl.: Bonn, Univ., Diss., 1996 | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Rational expectations (Economic theory) -- Mathematical models | |
| 650 | 4 | |a Autoregression (Statistics) | |
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Datensatz im Suchindex
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| adam_text | Contents
1 Introduction 1
1.1 Rational Expectations and Learning to Become Rational 1
1.1.1 The Rational Expectations Hypothesis 2
1.1.2 Methodological Problems of the REH 4
1.1.3 Stability of Rational Expectations or Learning
to Become Rational 6
1.1.4 Rational and Boundedly Rational Learning ... 7
1.2 The Mathematics of Learning 11
1.2.1 The Martingale Approach 14
1.2.2 The Stochastic Approximation Approach .... 16
1.2.3 The ODE Approach 17
1.3 Literature Review 20
1.3.1 The Static Case 21
1.3.2 The Dynamic Case 23
1.3.3 Summary 26
2 Univariate AR(1) Models 29
2.1 Introduction 29
2.2 Basic Assumptions 30
2.3 Rationality of Limit Expectations 38
2.4 Stability of Rational Expectations 39
2.5 Basic Convergence Analysis 45
2.6 Global Convergence Results 49
2.7 Local Convergence Results 52
2.8 The Rate of Convergence 61
2.8.1 The Explosive Case 63
2.8.2 The Stable Case 66
2.9 An Example 69
2.9.1 The Model 70
Vi CONTENTS
2.9.2 Stability of Rational Expectations 71
2.9.3 Convergence Results 72
2.9.4 Results for the OLS Procedure 72
3 Univariate ARX Models 75
3.1 Introduction 75
3.2 Basic Assumptions 76
3.3 Convergence Analysis 81
3.4 Condition Analysis 88
3.4.1 Determination of max{Zt) 89
3.4.2 Determination of min{Zt) 92
3.5 Convergence Results 97
3.5.1 Non Autoregressive Models 97
3.5.2 Autoregressive Models The Stable Case .... 99
3.5.3 Autoregressive Models The Unstable Case . . . 100
3.6 An Example 102
3.6.1 The Model 102
3.6.2 Convergence Results 103
3.7 Simulation Results 105
3.7.1 Slow Rate of Convergence 106
3.7.2 Non Robustness to Non Stationary Time Series . 107
3.7.3 Dependence on Initial Values 107
3.7.4 Strange Behaviour 108
4 Univariate Non Stationary Models 113
4.1 Introduction 113
4.2 Basic Assumptions 115
4.3 Convergence Analysis 118
4.4 Convergence Results 124
4.5 Simulation Results 132
4.5.1 The Model 132
4.5.2 The Calculations 133
4.5.3 Preliminary Results 133
4.5.4 Convergence Results 134
5 Multivariate ARX Models 143
5.1 Introduction 143
5.2 Basic Assumptions 144
5.3 Convergence Analysis 148
5.4 Condition Analysis 151
CONTENTS vii
5.4.1 Determination of Amox(Zt) 152
5.4.2 Determination of Amfn(Zt) 153
5.5 Convergence Results 154
5.6 An Example 155
6 Multivariate Non Stationary Models 161
6.1 Introduction 161
6.2 Basic Assumptions 161
6.3 Convergence Analysis 164
6.4 Convergence Results 167
A Univariate Autoregressions with Time Varying Para¬
meters 169
References 189
Notational Conventions, Symbols, and Abbreviations 199
|
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| indexdate | 2024-07-09T17:58:38Z |
| institution | BVB |
| isbn | 3540612793 |
| language | German |
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| spelling | Zenner, Markus Verfasser aut Learning to become rational the case of self-referential autoregressive and non-stationary models Markus Zenner Berlin u.a. Springer 1996 VII, 201 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lecture notes in economics and mathematical systems 439 Zugl.: Bonn, Univ., Diss., 1996 Mathematisches Modell Rational expectations (Economic theory) -- Mathematical models Autoregression (Statistics) Economics, Mathematical Nichtstationärer Prozess (DE-588)4304583-2 gnd rswk-swf Rational Choice (DE-588)4274923-2 gnd rswk-swf Autoregressives Modell (DE-588)4143717-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Rational Choice (DE-588)4274923-2 s Nichtstationärer Prozess (DE-588)4304583-2 s Autoregressives Modell (DE-588)4143717-2 s DE-604 Lecture notes in economics and mathematical systems 439 (DE-604)BV000000036 439 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007194791&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Zenner, Markus Learning to become rational the case of self-referential autoregressive and non-stationary models Lecture notes in economics and mathematical systems Mathematisches Modell Rational expectations (Economic theory) -- Mathematical models Autoregression (Statistics) Economics, Mathematical Nichtstationärer Prozess (DE-588)4304583-2 gnd Rational Choice (DE-588)4274923-2 gnd Autoregressives Modell (DE-588)4143717-2 gnd |
| subject_GND | (DE-588)4304583-2 (DE-588)4274923-2 (DE-588)4143717-2 (DE-588)4113937-9 |
| title | Learning to become rational the case of self-referential autoregressive and non-stationary models |
| title_auth | Learning to become rational the case of self-referential autoregressive and non-stationary models |
| title_exact_search | Learning to become rational the case of self-referential autoregressive and non-stationary models |
| title_full | Learning to become rational the case of self-referential autoregressive and non-stationary models Markus Zenner |
| title_fullStr | Learning to become rational the case of self-referential autoregressive and non-stationary models Markus Zenner |
| title_full_unstemmed | Learning to become rational the case of self-referential autoregressive and non-stationary models Markus Zenner |
| title_short | Learning to become rational |
| title_sort | learning to become rational the case of self referential autoregressive and non stationary models |
| title_sub | the case of self-referential autoregressive and non-stationary models |
| topic | Mathematisches Modell Rational expectations (Economic theory) -- Mathematical models Autoregression (Statistics) Economics, Mathematical Nichtstationärer Prozess (DE-588)4304583-2 gnd Rational Choice (DE-588)4274923-2 gnd Autoregressives Modell (DE-588)4143717-2 gnd |
| topic_facet | Mathematisches Modell Rational expectations (Economic theory) -- Mathematical models Autoregression (Statistics) Economics, Mathematical Nichtstationärer Prozess Rational Choice Autoregressives Modell Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007194791&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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