Kuan, Chung-Ming; White, Halbert - In: Econometrica 62 (1994) 5, pp. 1087-1114
The authors provide a convergence theory for adaptive learning algorithms useful for the study of learning by economic agents. Their results extend the framework of L. Ljung previously utilized by A. Marcet-T. J. Sargent and M. Woodford by permitting nonlinear laws of motion driven by stochastic...