When are adaptive expectations rational? A generalization

This note presents a simple generalization of the adaptive expectations mechanism in which the learning parameter is time variant. Expectations generated in this way minimize mean squared forecast errors for any linear state space model.

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Year of publication:	2012
Authors:	Shepherd, Ben
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 115.2012, 1, p. 4-6
Publisher:	Elsevier
Subject:	Adaptive expectations \| Rational expectations \| Kalman filter

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Type of publication:	Article
Classification:	C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010572253