arXiv 11 Apr 2022 · Econometrics · publishedStatistics & Probability Letters (2022) · 1 citations (OpenAlex)
arXiv:2204.05298 · PDF · DOI · OpenAlex · Extracted main text
Weak consistency and asymptotic normality of the ordinary least-squares estimator in a linear regression with adaptive learning is derived when the crucial, so-called, `gain' parameter is estimated in a first step by nonlinear least squares from an auxiliary model. The singular limiting distribution of the two-step estimator is normal and in general affected by the sampling uncertainty from the first step. However, this `generated-regressor' issue disappears for certain parameter combinations.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Jennrich, R. I (1969) Asymptotic properties of non-linear least squares estimators | 0.874 | 6 | 2 | 100% |
| 2 | Lai, T. L (1994) Asymptotic properties of nonlinear least squares estimates in stochastic regression models | 0.843 | 4 | 3 | 75% |
| 3 | Wang, Q (2021) Least squares estimation for nonlinear regression models with heteroskedasticity | 0.737 | 5 | 3 | 40% |
| 4 | Chan, N., and Q. Wang (2015) Nonlinear regressions with nonstationary time series | 0.737 | 3 | 3 | 67% |
| 5 | Malmendier, U., and S. Nagel (2016) Learning from inflation experiences | 0.737 | 3 | 2 | 100% |
| 6 | Mayer, A (2022) Estimation and inference in adaptive learning models with slowly decreasing gains self | 0.727 | 13 | 3 | 38% |
| 7 | Benveniste, A., M. Métivier, and P. Priouret (1990) Adaptive Algorithms and Stochastic Approximation\/ | 0.644 | 2 | 2 | 100% |
| 8 | Evans, G. W., and S. Honkapohja (2001) Learning and Expectations in Macroeconomics\/ | 0.644 | 2 | 2 | 100% |
| 9 | Malmendier, U., S. Nagel, and Z. Yan (2021) The making of hawks and doves | 0.644 | 2 | 2 | 100% |
| 10 | Nakov, A. and G. Nuño (2015) Learning from experience in the stock market | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 42 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 2cmLeast squares estimation in nonstationary nonlinear cohort panels with learning from experience | 0.405 | 1 | 1 |
| 2 | Estimation and inference in models with multiple behavioural equilibria | 0.405 | 1 | 1 |