NDLI: Uncertainty and Learning in Stochastic Macro Models

Content Provider	Springer Nature Link
Author	Ferri, Piero Variato, Anna Maria
Copyright Year	2010
Abstract	Limits on information have deep economic impact and affect the conduct of economic policy. In the present paper we explore the effect of substantive uncertainty in a macro model, from both an analytical and methodological point of view. Agents are boundedly rational and make their forecasts according to different techniques and try to learn the values of the various parameters. In this context, a Markov regime switching rule, a VAR system, and recursive least square are considered and compared. As a result, we obtain a model which is mostly keynesian in nature that can be compared with the new neoclassical synthesis models. Simulations are carried out and show the possible appearence of endogenous and persistent fluctuations.
Starting Page	297
Ending Page	310
Page Count	14
File Format	PDF
ISSN	10830898
Journal	International Advances in Economic Research
Volume Number	16
Issue Number	3
e-ISSN	1573966X
Language	English
Publisher	Springer US
Publisher Date	2010-07-19
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Endogenous fluctuations Micro-macro relationships Uncertainty Bounded rationality Learning Economic Growth Microeconomics International Economics Macroeconomics/Monetary Economics Economics general
Content Type	Text
Resource Type	Article
Subject	Economics and Econometrics

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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Uncertainty and Learning in Stochastic Macro Models