Template-Type:ReDIF-Paper 1.0  
Title: Prediction Error Learning and Rational Expectations in Autoregressive Models with Forecast Feedback 
Author-Name:Zenner, M. 
Classification-JEL:C22, C40, C62, D83 
Keywords:Rational expectations, learning, model specification 
Abstract:The rational expectations hypothesis is supported if rational expectations are stable with respect to
	reasonable learning procedures. We consider the Stochastic Gradient-Algorithm as a boundedly rational learning
	procedure in an univariate ARX-Model with forecast feedback. We prove that whenever there exists a stable
	rational expectations equilibrium and the influence of the forecast feedback is limited the learning agents cannot
	destabilize the model and learn to form rational expectations with probability one. 
Creation-Date: 1994-12
Revision-Date: 
Handle: RePEc:bon:bonsfb:303
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb303.pdf
File-Format: application/pdf
File-Size:  404111  bytes