@article{c88aa7deded441dca988ea7bbcfb1a94,
title = "Convergence of least squares learning mechanisms in self-referential linear stochastic models",
abstract = "We study a class of models in which the law of motion perceived by agents influences the law of motion that they actually face. We assume that agents update their perceived law of motion by least squares. We show how the perceived law of motion and the actual one may converge to one another, depending on the behavior of a particular ordinary differential equation. The differential equation involves the operator that maps the perceived law of motion into the actual one.",
author = "Albert Marcet and Sargent, {Thomas J.}",
note = "Funding Information: * An early discussion with Ramon Marimon about the topic of this paper was very useful, for which we thank him. We also thank Mark Feldman for useful comments on an earlier draft of this paper. Three referees made many very helpful suggestions about earlier drafts. We especially thank Margaret Bray for giving us a variety of criticisms that redirected our efforts in fruitful ways. This paper was written while Sargent was a Visiting Scholar at the Hoover Institution, and while Marcet was a researcher at the Federal Reserve Bank of Minneapolis. Sargent{\textquoteright}s research was supported by National Science Foundation Grant NSFISES8508935 to the University of Minnesota.",
year = "1989",
month = aug,
doi = "10.1016/0022-0531(89)90032-X",
language = "English (US)",
volume = "48",
pages = "337--368",
journal = "Journal of Economic Theory",
issn = "0022-0531",
publisher = "Academic Press Inc.",
number = "2",
}