C. R. Nelson and C. I. Plosser (1982), in a classic paper, failed to find strong evidence against the null hypothesis of a generating process with a unit autoregressive root for thirteen U.S. macroeconomic time series. P. Perron (1989) claimed that such evidence was available for a majority of...

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...