E-stability and stability of adaptive learning in models with asymmetric information
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Lüneburg: Institut für Volkswirtschaftslehre der Universität Lüneburg, 2007. (Working paper series in economics; No. 69).
Research output: Working paper › Working papers
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TY - UNPB
T1 - E-stability and stability of adaptive learning in models with asymmetric information
AU - Heinemann, Maik
PY - 2007
Y1 - 2007
N2 - The paper demonstrates how the E–stability principle introduced by Evans and Honkapohja [2001] 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] 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] 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] 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 - adaptive learning
KW - eductive stability
KW - rational expectations
M3 - Working papers
T3 - Working paper series in economics
BT - E-stability and stability of adaptive learning in models with asymmetric information
PB - Institut für Volkswirtschaftslehre der Universität Lüneburg
CY - Lüneburg
ER -