Convergence to rational expectations in a stationary linear game

J. S. Jordan

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

Abstract

This paper describes several learning processes which converge, with probability one, to the rational expectations (Bayesian-Nash) equilibrium of a stationary linear game. The learning processes include a test for convergence to equilibrium, and a method for changing the parameters of the process when non-convergence is indicated. This self-stabilization property eliminates the need to impose stability conditions on the economic environment. Convergence to equilibrium is proved for two types of self-stabilizing learning mechanisms: a centralized forecasting mechanism and a decentralized strategy adjustment process.

Original languageEnglish (US)
Pages (from-to)109-123
Number of pages15
JournalReview of Economic Studies
Volume59
Issue number1
DOIs
StatePublished - Jan 1992

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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