time separable preferences strongly improves empirical performance. Learning causes momentum and mean reversion of returns … and thereby excess volatility, persistence of price-dividend ratios, long-horizon return predictability and a risk premium … restrict consideration to learning schemes that imply only small deviations from full rationality. The findings are robust to …

We present a decision theoretic framework with agents that are learning about the behavior of market determined … about equilibrium prices, so that learning about price behavior, as in Adam, Marcet and Nicolini (2008), is fully consistent …

knowledge represents an additional distortion confronting policy, leading to greater inflation and output volatility relative to …

Expectations play a central role in modern macroeconomics. The econometric learning approach, in line with the … equilibria. Further features of learning, such as discounting of older data, use of misspecified models, or heterogeneous choice … by agents between competing models, generate novel learning dynamics. Empirical applications are reviewed and the roles …