E-stability and stability of adaptive learning in models with private information

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E-stability and stability of adaptive learning in models with private information. / Heinemann, Maik.
in: Journal of Economic Dynamics and Control, Jahrgang 33, Nr. 12, 01.12.2009, S. 2001-2014.

Publikation: Beiträge in ZeitschriftenZeitschriftenaufsätzeForschungbegutachtet

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@article{f9fa6c469bda436ba2701a57a3b22cd4,
title = "E-stability and stability of adaptive learning in models with private information",
abstract = "The paper demonstrates how the E-stability principle introduced by Evans and Honkapohja [2001. Learning and Expectations in Macroeconomics. Princeton University Press, Princeton, NJ] can be applied to models with heterogeneous and private information in order to assess the stability of rational expectations equilibria under learning. The paper extends already known stability results for the Grossman and Stiglitz [1980. On the impossibility of informationally efficient markets. American Economic Review 70, 393-408] model to a more general case with many differentially informed agents and to the case where information is endogenously acquired by optimizing agents. In both cases it turns out that the rational expectations equilibrium of the model is inherently E-stable and thus locally stable under recursive least squares learning.",
keywords = "Economics, Recursive least squares learning, E-Stability, Rational expectations, Private information",
author = "Maik Heinemann",
year = "2009",
month = dec,
day = "1",
doi = "10.1016/j.jedc.2009.07.002",
language = "English",
volume = "33",
pages = "2001--2014",
journal = "Journal of Economic Dynamics and Control",
issn = "0165-1889",
publisher = "Elsevier B.V.",
number = "12",

}

RIS

TY - JOUR

T1 - E-stability and stability of adaptive learning in models with private information

AU - Heinemann, Maik

PY - 2009/12/1

Y1 - 2009/12/1

N2 - The paper demonstrates how the E-stability principle introduced by Evans and Honkapohja [2001. Learning and Expectations in Macroeconomics. Princeton University Press, Princeton, NJ] can be applied to models with heterogeneous and private information in order to assess the stability of rational expectations equilibria under learning. The paper extends already known stability results for the Grossman and Stiglitz [1980. On the impossibility of informationally efficient markets. American Economic Review 70, 393-408] model to a more general case with many differentially informed agents and to the case where information is endogenously acquired by optimizing agents. In both cases it turns out that the rational expectations equilibrium of the model is inherently E-stable and thus locally stable under recursive least squares learning.

AB - The paper demonstrates how the E-stability principle introduced by Evans and Honkapohja [2001. Learning and Expectations in Macroeconomics. Princeton University Press, Princeton, NJ] can be applied to models with heterogeneous and private information in order to assess the stability of rational expectations equilibria under learning. The paper extends already known stability results for the Grossman and Stiglitz [1980. On the impossibility of informationally efficient markets. American Economic Review 70, 393-408] model to a more general case with many differentially informed agents and to the case where information is endogenously acquired by optimizing agents. In both cases it turns out that the rational expectations equilibrium of the model is inherently E-stable and thus locally stable under recursive least squares learning.

KW - Economics

KW - Recursive least squares learning

KW - E-Stability

KW - Rational expectations

KW - Private information

UR - http://www.scopus.com/inward/record.url?scp=70349559120&partnerID=8YFLogxK

UR - https://www.mendeley.com/catalogue/238b9a22-87ce-37a3-ac05-41bd58dd416a/

U2 - 10.1016/j.jedc.2009.07.002

DO - 10.1016/j.jedc.2009.07.002

M3 - Journal articles

VL - 33

SP - 2001

EP - 2014

JO - Journal of Economic Dynamics and Control

JF - Journal of Economic Dynamics and Control

SN - 0165-1889

IS - 12

ER -

DOI