Learnig rational expectations: The finite state case
type: Item
instance of: scholarly article
title: Learnig rational expectations: The finite state case
zbMATH Open document ID: 0587.90024
DOI: 10.1016/0022-0531(85)90105-X
published in: Journal of Economic Theory
publication date: 1985-01-01T00:00:00Z
review text: The present paper uses a model of rational expectations equilibrium as it has been constructed by the author in another paper [ibid. 28, 235-254 (1982; Zbl 0508.90016)]. As a main characteristic in this theory each agent uses at each stage private information resp. market prices to form an estimate of the probability distribution of future states. A rule for estimating this conditional distribution is called an estimation procedure. The array of estimation procedures for all agents and all stages is called an estimation scheme. As the main result of the paper the author gives a sufficient condition such that an estimation scheme is ''successful'', that is, if (for almost every sample) the estimates converge to the true conditional distribution of future states. It asserts that the traders who begin with no knowledge of the characteristics of other traders and no knowledge of the distribution of future states can learn to form correct expectations from repeated observations of prices and realized states.
Mathematics Subject Classification ID: 91B62
zbMATH DE Number: 3943510
zbMATH Keywords: learning processes
zbMATH Keywords: dynamic adjustment processes
zbMATH Keywords: rational expectations equilibrium
zbMATH Keywords: estimation procedure
zbMATH Keywords: estimation scheme
author: James S. Jordan
MaRDI profile type: Publication
cites work: Q3767087
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description: scientific article; zbMATH DE number 3943510