A0840
Title: Identification, estimation, and inference for models with multiple behavioral equilibria
Authors: Davide Raggi - Ca\' Foscari University of Venice (Italy) [presenting]
Abstract: Deviations from the rational expectation paradigm pose many challenges in terms of statistical properties of the underlying macroeconomic models and on the theoretical properties of the estimators for the parameters of interest. The focus is on bounded rationality, in which agents use a simple misspecified autoregressive model to build their subjective expectations. This assumption may lead to multiple expectational equilibria. It is also assumed that agents recursively update the parameters of this autoregressive rule. This feature refers to learning, where economic agents update their expectations based on recent historical data. It is found that under constant gain learning, trajectories of the variables of interest are still uniformly ergodic. Furthermore, even under learning, it is possible to derive key properties for the estimators of the structural economic parameters, such as consistency and asymptotic distributions of those estimators.
