Learning and Model Validation

Title
Learning and Model Validation
Authors
조인구
Keywords
Learning; Model Validation
Issue Date
2015-01
Publisher
OXFORD UNIV PRESS
Citation
REVIEW OF ECONOMIC STUDIES, NO 82, Page. 45-82
Abstract
This paper studies adaptive learning with multiple models. An agent operating in a self-referential environment is aware of potential model misspecification, and tries to detect it, in real-time, using an econometric specification test. If the current model passes the test, it is used to construct an optimal policy. If it fails the test, a new model is selected. As the rate of coefficient updating decreases, one model becomes dominant, and is used “almost always”. Dominant models can be characterized using the tools of large deviations theory. The analysis is used to address two questions posed by Sargent's Phillips Curve model.
URI
http://hdl.handle.net/20.500.11754/21313https://academic.oup.com/restud/article-lookup/doi/10.1093/restud/rdu026
ISSN
0034-6527
DOI
http://dx.doi.org/10.1093/restud/rdu026
Appears in Collections:
COLLEGE OF ECONOMICS AND FINANCE[S](경제금융대학) > ECONOMICS & FINANCE(경제금융학부) > Articles
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