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- Mavroeidis, Sophocles, et al. Show all 2 Author
- Journal of econometrics 2017 v.198 no.1 pp. 1-9
- algorithms; econometric models; economic analysis; economic theory
- ... We study learning dynamics in a prototypical representative-agent forward-looking model in which agents’ beliefs are updated using linear learning algorithms. We show that learning in this model can generate long memory endogenously, without any persistence in the exogenous shocks, depending on the weights agents place on past observations when they update their beliefs, and on the magnitude of th ...
- Mavroeidis, Sophocles, et al. Show all 3 Authors
- Journal of econometrics 2015 v.188 no.1 pp. 219-235
- econometric models; economic analysis; economic theory; employment; statistical analysis; time series analysis
- ... This paper presents a maximum likelihood approach to estimation of cross sectional distributions of heterogeneous autoregressive (AR) parameters with short panel data. We construct a panel likelihood by integrating the unknown cross sectional density of heterogeneous AR parameters with respect to a known time-series data generating kernel. The solution to this extremal criterion recovers the unkno ...