dc.contributor.author | Damjanovic, Tatiana | |
dc.contributor.author | Girdenas, Sarunas | |
dc.contributor.author | Liu, Keqing | |
dc.date.accessioned | 2015-05-19T14:00:04Z | |
dc.date.issued | 2015 | |
dc.description.abstract | In this paper, we consider a model where producers set their prices based on their prediction of the aggregated price level and an exogenous variable, which can be a demand or a cost-push shock. To form their expectations, they use OLS-type econometric learning with bounded memory. We show that the aggregated price follows the random coefficient autoregressive process and we prove that this process is covariance stationary. | en_GB |
dc.identifier.citation | Vol. 130, pp. 93 - 96 | en_GB |
dc.identifier.doi | 10.1016/j.econlet.2015.03.011 | |
dc.identifier.uri | http://hdl.handle.net/10871/17257 | |
dc.language.iso | en | en_GB |
dc.publisher | Elsevier | en_GB |
dc.relation.url | http://www.journals.elsevier.com/economics-letters/ | en_GB |
dc.relation.url | http://business-school.exeter.ac.uk/documents/papers/economics/2015/1502.pdf | en_GB |
dc.subject | C22 | en_GB |
dc.subject | C53 | en_GB |
dc.subject | C62 | en_GB |
dc.subject | D83 | en_GB |
dc.subject | E31 | en_GB |
dc.subject | Econometric learning | en_GB |
dc.subject | Bounded memory | en_GB |
dc.subject | Random coefficient autoregressive process | en_GB |
dc.subject | Stationarity | en_GB |
dc.title | Stationarity of econometric learning with bounded memory and a predicted state variable | en_GB |
dc.type | Article | en_GB |
dc.date.available | 2015-05-19T14:00:04Z | |
dc.identifier.issn | 0165-1765 | |
dc.description | NOTICE: this is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, Volume 130, May 2015, Pages 93–96. 10.1016/j.econlet.2015.03.011 | en_GB |
dc.description | This version published online in University of Exeter Economics Department Discussion Papers Series, 15/02 | en_GB |
dc.identifier.journal | Economics Letters | en_GB |