applied to state filtering and sequential parameter learning. This paper introduces robust state space models whose error …

equilibrium dynamics resulting from this learning process helps to explain the main stylized facts of free-floating exchange rates … the number of agents (not more than about 1000). With a larger population, this collective learning dynamics looses its … Hauptinteresse geht dahin, herauszufinden, ob die Gleichgewichtsdynamik, die aus diesem Lernprozess resultiert, dabei helfen kann …

model. This constitutes the trend learning algorithm employed by the forecaster. To examine whether this is a valid … assumption, I fit a simple learning model to US survey expectations. The second part contains an out-of-sample forecasting … experiment which shows that learning by signal extraction matches survey measures closer than other standard models. Moreover, it …