In this paper we consider the estimation of some stochastic differential equation models by an indirect estimation method proposed by Gourieroux, Monfort and Renault (1993) using discrete data. The performance of this method is analysed via Monte Carlo experiments. In particular, we examine the...

We investigate the market selection hypothesis in a mean reverting environment. We consider three models varying the endowment process and agents’ beliefs and we show that with a constant relative risk aversion utility, controlling for the discount factor, agents with incorrect beliefs about...

We analyze the classical asset pricing model assuming non fully rational agents. Agents forecast future prices cum dividend through an adaptive learning rule. This assumption provides an explanation of some anomalies encountered in the empirical analysis of asset prices under full rationality:...

We provide a discussion of bounded rationality learning behind traditional learning mechanisms, i.e., Recursive Ordinary Least Squares and Bayesian Learning. These mechanisms lack for many reasons a behavioral interpretation and, following the Simon criticism, they appear to be 'substantively...