Title of article :
Inferenceinmodelswithadaptivelearning
Author/Authors :
Guillaume Chevillon، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2010
Abstract :
Identificationofstructuralparametersinmodelswithadaptivelearningcanbeweak,
causingstandardinferenceprocedurestobecomeunreliable.Learningalsoinduces
persistentdynamics,andthismakesthedistributionofestimatorsandteststatistics
non-standard.ValidinferencecanbeconductedusingtheAnderson–Rubinstatistic
with appropriatechoiceofinstruments.Applicationofthismethodtoatypicalnew
Keynesiansticky-pricemodelwithperpetuallearningdemonstratesitsusefulnessin
practice
Keywords :
Weak identificationPersistenceAnderson–Rubin statisticDSGE models
Journal title :
Journal of Monetary Economics
Journal title :
Journal of Monetary Economics
