Escape dynamics in learning models pdf

In the context of a model of monetary policy, this paper analyzes dynamics that govern both convergence and escape under a more general class of priors. The previous example illustrated how escape dynamics can generate large fluctuations around a self confirming equilibrium. However in stochastic environments, there may be rare but recurrent episodes where shocks cause beliefs to escape from. Escape dynamics in learning models noah williams department of economics, university of wisconsin madison email. This paper illustrates and characterizes how adaptive.

Impacts of priors on convergence and escape from nash inflation. This article illustrates and characterizes how adaptive learning can lead to recurrent large fluctuations. This approach is based on applying results of continuous. Learning models have typically focused on convergence of beliefs toward an equilibrium.

An agent operating in a selfreferential environment is aware of potential model misspecification, and tries to detect it, in realtime. This paper illustrates and characterizes how adaptive learning can lead to recurrent large fluctuations. Escape dynamics in learning models 3 model they retain the same regular character and size. Escape dynamics in learning models noahwilliams department of economics, princeton university email. Pdf escape dynamics in learning models researchgate. However in stochastic environments, there may be rare but recurrent episodes where beliefs escape from the equilibrium. Escape dynamics in learning models 3 tic transition rates between equilibria. Escape dynamics in learning models oxford academic journals. While our methods can be applied to a variety of models, not all of them will have prominent escape dynamics. In particular, i study a model of a monopolist learning its demand curve, subject to both cost and demand shocks. Pdf escape dynamics in learning models semantic scholar. Noah williams, university of wisconsin posted on may 20, 2018. However in stochastic environments, there may be rare but recurrent episodes where beliefs escape from the. I now show how escape dynamics in learning models can generate time series which differs qualitatively from the sce, with recurrent, regular periods of extended deviations from the sce.

My results build on dupuis and kushner 1989, who develop a theory of large deviations for stochastic approximation models, and characterize escapes via a. Duopoly competition, escape dynamics and noncooperative. However in stochastic environments, there may be rare but recurrent episodes where shocks cause beliefs to escape from the equilibrium. Citeseerx document details isaac councill, lee giles, pradeep teregowda. I characterize the escape dynamics by drawing on the theory of large deviations, developing new results which make this theory directly applicable in a class of learning models. The escape route dynamics cause recurrent outcomes close to the ramsey commitment inflation rate in a model with an adaptive government. Another ode governs escape dynamics that recurrently propel away from a selfconfirming equilibrium. This paper studies adaptive learning with multiple models. Learning models have typically focused on the convergence of beliefs toward an equilibrium. Can a theory in which a process of learning and maybe forgetting about inflationunemployment dynamics rationalize the inflation outcomes over which the u. We extend a continuoustime approach to the analysis of escape dynamics in economic models with adaptive learning with constant gain. Department of economics, university of wisconsin madison.

We characterize these escape dynamics by drawing on the theory of large deviations, developing new results which make this theory directly applicable in a class of linearquadratic learning models. Learning models have typically focused on the convergence. We characterize these escape dynamics by drawing on the theory of large deviations. The likelihood, frequency, and most likely direction of escapes are all characterized by a deterministic control problem. I characterize the escape dynamics by drawing on the theory of large.