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Consistent estimation of structural parameters in regression models with adaptive learning
Christopeit, Norbert; Massmann, Michael - 2010
In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive …
Persistent link: https://www.econbiz.de/10011381034
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Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning
Christopeit, Norbert - 2010
In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive …
Persistent link: https://www.econbiz.de/10013139606
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Estimating structural parameters in regression models with adaptive learning
Christopeit, Norbert; Massmann, Michael - 2015
amounts to a static, cointegrating or co-explosiveness regression. With decreasing gain learning, the regressors are …
Persistent link: https://www.econbiz.de/10011333062
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Strong Consistency of the Least-Squares Estimator in Simple Regression Models with Stochastic Regressors
Christopeit, Norbert - 2015
Strong consistency of least squares estimators of the slope parameter in simple linear regression models is established …
Persistent link: https://www.econbiz.de/10013036394
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Estimating Structural Parameters in Regression Models with Adaptive Learning
Christopeit, Norbert - 2015
This paper investigates the asymptotic properties of the ordinary least squares (OLS) estimator of structural parameters in a stylised macroeconomic model in which agents are boundedly rational and use an adaptive learning rule to form expectations of the endogenous variable. In particular, when...
Persistent link: https://www.econbiz.de/10013035222
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Estimating structural parameters in regression models with adaptive learning
Christopeit, Norbert; Massmann, Michael - 2013
Persistent link: https://www.econbiz.de/10010191331
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A note on an estimation problem in models with adaptive learning
Christopeit, Norbert; Massmann, Michael - 2013
Persistent link: https://www.econbiz.de/10010191220
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Estimating structural parameters in regression models with adaptive learning
Christopeit, Norbert; Massmann, Michael - In: Econometric theory 34 (2018) 1, pp. 68-111
Persistent link: https://www.econbiz.de/10011950924
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Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
Blasques, Francisco; Brummelen, Janneke van; Gorgi, Paolo; … - 2022
robust filtering and forecasting. We provide sufficient conditions for the strong consistency and asymptotic normality of the …
Persistent link: https://www.econbiz.de/10012795401
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Strong consistency of the least squares estimator in regression models with adaptive learning
Christopeit, Norbert; Massmann, Michael - 2018
obtained in all models although the near-optimal condition for the strong consistency of OLS in linear regression models with …This paper looks at the strong consistency of the ordinary least squares (OLS) estimator in a stereotypical … the estimator's convergence in distribution and its weak consistency in the same setting. Under constant gain learning …
Persistent link: https://www.econbiz.de/10011844585