Stable Noisy K-state Markov Sunspots

Show full item record

Title: Stable Noisy K-state Markov Sunspots
Author: Evans, George W., 1949-; McGough, Bruce
Abstract: We consider a linear stochastic univariate rational expectations model, with a predetermined variable, and consider solutions driven by an extraneous finite state Markov process as well as by the fundamental noise. We obtain conditions for existence of noisy k-state sunspot equilibria (noisy k-SSEs) and, for the case k=2, of noisy k-state dependent sunspot equilibria (noisy k-*SDSs). k-*SDSs are driven by a finite stable sunspot but have an infinite range of values even in the nonstochastic model. Stability under econometric learning is analyzed using representations that nest both types of solution. For the case k=2, we find that noisy 2-SSEs and noisy 2-*SDSs are learnable for parameters in proper subsets of the regions of their existence.
URI: http://hdl.handle.net/1794/103
Date: 2002-07-18


Files in this item

Files Size Format View
2002-19.pdf 742Kb PDF View/Open

This item appears in the following Collection(s)

Show full item record