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Convergence rate of agents' learning in macroeconomic models

Johansson, Karl Henrik LU (1994) In IIASA Working Paper WP-94-072
Abstract
This paper discusses agents7 learning on a market. The price level evolves through a multivariable autoregressive model, which the agents learn in a least-squares sense. A theorem is stated that shows how the agents7 learning might be divided into two classes with respect to the learning convergence rate. The results are exemplified by the well-known hyperinflation model. Further, for the hyperinflation model some interesting features concerning the "coupling" between the price and the learning dynamics are discussed. An explicit expression is derived for how the rate of the agents' learning depends upon this coupling.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Book/Report
publication status
published
subject
in
IIASA Working Paper WP-94-072
publisher
International Institute for Applied Systems Analysis, Laxenburg Austria
language
English
LU publication?
yes
id
07262f66-9b7a-4cae-9d41-29587cfde3a4 (old id 8602914)
alternative location
http://webarchive.iiasa.ac.at/Admin/PUB/Documents/WP-94-072.pdf
date added to LUP
2016-04-04 11:14:31
date last changed
2018-11-21 21:03:34
@techreport{07262f66-9b7a-4cae-9d41-29587cfde3a4,
  abstract     = {{This paper discusses agents7 learning on a market. The price level evolves through a multivariable autoregressive model, which the agents learn in a least-squares sense. A theorem is stated that shows how the agents7 learning might be divided into two classes with respect to the learning convergence rate. The results are exemplified by the well-known hyperinflation model. Further, for the hyperinflation model some interesting features concerning the "coupling" between the price and the learning dynamics are discussed. An explicit expression is derived for how the rate of the agents' learning depends upon this coupling.}},
  author       = {{Johansson, Karl Henrik}},
  institution  = {{International Institute for Applied Systems Analysis, Laxenburg Austria}},
  language     = {{eng}},
  series       = {{IIASA Working Paper WP-94-072}},
  title        = {{Convergence rate of agents' learning in macroeconomic models}},
  url          = {{http://webarchive.iiasa.ac.at/Admin/PUB/Documents/WP-94-072.pdf}},
  year         = {{1994}},
}