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Learning to Become Rational

The Case of Self-Referential Autoregressive and Non-Stationary Models

  • Markus Zenner

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 439)

Table of contents

  1. Front Matter
    Pages N1-vii
  2. Markus Zenner
    Pages 1-27
  3. Markus Zenner
    Pages 29-74
  4. Markus Zenner
    Pages 75-112
  5. Markus Zenner
    Pages 113-141
  6. Markus Zenner
    Pages 143-159
  7. Markus Zenner
    Pages 161-168
  8. Back Matter
    Pages 169-205

About this book

Introduction

1. 1 Rational Expectations and Learning to Become Rational A characteristic feature of dynamic economic models is that, if future states of the economy are uncertain, the expectations of agents mat­ ter. Producers have to decide today which amount of a good they will produce not knowing what demand will be tomorrow. Consumers have to decide what they spend for consumption today not knowing what prices will prevail tomorrow. Adopting the neo-classical point of view that economic agents are 'rational' in the sense that they behave in their own best interest given their expectations about future states of the ecomomy it is usually assumed that agents are Bayesian deci­ sion makers. But, as LUCAS points out, there remains an element of indeterminacy: Unfortunately, the general hypothesis that economic agents are Bayesian decision makers has, in many applications, lit­ tle empirical content: without some way of infering what an agent's subjective view of the future is, this hypothesis is of no help in understanding his behavior. Even psychotic behavior can be (and today, is) understood as "rational", given a sufficiently abnormal view of relevant probabili­ ties. To practice economics, we need some way (short of psychoanalysis, one hopes) of understanding which decision problem agents are solving. (LucAs (1977, p. 15)) 2 CHAPTER 1. INTRODUCTION 1. 1.

Keywords

Stochastische Modelle Theorie der rationalen Erwartungen bounded rationality eingeschränkte Rationalität learning rational expectations regression research stochastic models value-at-risk

Authors and affiliations

  • Markus Zenner
    • 1
  1. 1.Institute for Econometrics and Operations ResearchUniversity of BonnBonnGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-51876-8
  • Copyright Information Springer-Verlag Berlin Heidelberg 1996
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-61279-7
  • Online ISBN 978-3-642-51876-8
  • Series Print ISSN 0075-8442
  • Series Online ISSN 2196-9957
  • Buy this book on publisher's site
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