arXiv 4 Dec 2025 · Econometrics
arXiv:2512.04541 · PDF · DOI · OpenAlex · Extracted main text
We develop estimation and inference methods for a stylized macroeconomic model with potentially multiple behavioural equilibria, where agents form expectations using a constant-gain learning rule. We first show geometric ergodicity of the underlying process to study in a second step (strong) consistency and asymptotic normality of the nonlinear least squares estimator for the structural parameters. We propose inference procedures for the structural parameters and uniform confidence bands for the equilibria. When equilibrium solutions are repeated, mixed convergence rates and non-standard limit distributions emerge. Monte Carlo simulations and an empirical application illustrate the finite-sample performance of our methods.
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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 | Hommes, C. and M. Zhu (2014) Behavioral learning equilibria | 1.000 | 15 | 5 | 100% |
| 2 | Hommes, C., K. Mavromatis, T. Özden, and M. Zha (2023) Behavioral Learning Equilibria in New Keynesian Models | 1.000 | 6 | 4 | 100% |
| 3 | Evans, G. W. and S. Honkapohja (2001) Learning and Expectations in Macroeconomics | 1.000 | 6 | 3 | 100% |
| 4 | Chevillon, G., M. Massmann, and S. Mavroeidis (2010) Inference in models with adaptive learning | 1.000 | 5 | 5 | 100% |
| 5 | Mayer, A. and M. Massmann (2025) Least squares estimation in nonstationary nonlinear cohort panels with learning from experience self | 1.000 | 5 | 3 | 100% |
| 6 | Straumann, D. and T. Mikosch (2006) Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach | 0.928 | 4 | 3 | 100% |
| 7 | Francq, C., B. M. Kandji, and J.-M. Zakoïan (2024) Inference on GARCH-MIDAS models without any small-order moment | 0.843 | 4 | 3 | 75% |
| 8 | Lansing, K (2009) Time-Varying U.S | 0.843 | 3 | 3 | 100% |
| 9 | Mavroeidis, S., M. Plagborg-Møller, and J. Stock (2014) Empirical Evidence of Inflation Expectations in the New Keynesian Phillips Curve | 0.843 | 3 | 3 | 100% |
| 10 | Milani, F (2007) Expectations, learning and macroeconomic persistence | 0.843 | 3 | 3 | 100% |
Showing the top 10 of 73 scored citations.