Error learning behaviour and stability revisited

Colucci, Domenico; Valori, Vincenzo

doi:10.1016/j.jedc.2004.01.002

Cited by 5 publications

(3 citation statements)

References 38 publications

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“…In this scheme, the variable ρ t can be interpreted as a voluntary choice of how much it is worth recalling, the choice being the result of a form of "rational" assessment about the significance of the available information in terms of predicting the future. For more details about this specification see Colucci and Valori [8]. Experimental support for this kind of behaviour is provided by Marimon and Sunder [20].…”

Section: Expectation Formation: Some Alternativementioning

confidence: 99%

“…There is a sort of natural way to generalise the fading memory rule to include past prediction performances in the determinants of the dynamics of α t and that is by endogenising the parameter ρ: this can be called generalised fading memory (GFM) (as in Colucci and Valori [8]) and its recursive form is as follows…”

Section: Expectation Formation: Some Alternativementioning

confidence: 99%

“…The first column contains the specifications used for the rules that involve parameters. 8 The last row in each box displays averages over the different parametric specifications: it can be taken as a rough measure of how much each type of rule is inclined to imply convergence toward the rational expectations equilibrium (a lower value means convergence is more likely). Notice that MN and the non-parametric rules (OLS1, OLS2 and Simple Average) have the lowest values: this does not mean that convergence is warranted in all cases.…”

Section: Simulationsmentioning

confidence: 99%

See 2 more Smart Citations

Ways of learning in a simple economic setting: A comparison

Colucci

Valori

2006

Chaos, Solitons & Fractals

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We analyse the capacity of a range of different learning rules to describe actual human behaviour in the experiment on expectation formation in a cobweb model conducted by Hommes et al. (2000). We find indication of a relative superiority in terms of descriptive capacity of forms of generalised adaptive expectations allowing for endogenous gain parameters. * We are very grateful to Cars Hommes, Joep Sonnemans and Henk van de Velden for providing us with the experimental data used in this paper. We are also grateful to Jan Tuinstra. The usual caveats apply.

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Section: Expectation Formation: Some Alternativementioning

confidence: 99%

Section: Expectation Formation: Some Alternativementioning

confidence: 99%

Section: Simulationsmentioning

confidence: 99%

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Ways of learning in a simple economic setting: A comparison

Colucci

Valori

2006

Chaos, Solitons & Fractals

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Learning and time-varying macroeconomic volatility

Milani

2014

Journal of Economic Dynamics and Control

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a b s t r a c tThis paper presents a DSGE model in which agents' learning about the economy can endogenously generate time-varying macroeconomic volatility. Economic agents use simple models to form expectations and need to learn the relevant parameters. Their gain coefficient is endogenous and is adjusted according to past forecast errors.The model is estimated using likelihood-based Bayesian methods. The endogenous gain is jointly estimated with the structural parameters of the system.The estimation results show that private agents appear to have often switched to constant-gain learning, with a high constant gain, during most of the 1970s and until the early 1980s, while reverting to a decreasing gain later on. As a result, the model can generate a pattern of volatility, which is increasing in the 1970s and falling in the second half of the sample, with a decline that can roughly match the magnitude of the so-called "Great Moderation" in the 1984-2007 period. The paper also documents how a failure to incorporate learning into the estimation may lead econometricians to spuriously find time-varying volatility in the exogenous shocks, even when these have constant variance by construction.

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Survey forecasts in Brazil: A prismatic assessment of epidemiology, performance, and determinants

Carvalho

Minella

2012

Journal of International Money and Finance

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Error learning behaviour and stability revisited

Cited by 5 publications

References 38 publications

Ways of learning in a simple economic setting: A comparison

Ways of learning in a simple economic setting: A comparison

Learning and time-varying macroeconomic volatility

Survey forecasts in Brazil: A prismatic assessment of epidemiology, performance, and determinants

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