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Learning and Model Validation: An Example *

In‐Koo Cho and Kenneth Kasa

in Macroeconomics at the Service of Public Policy

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199666126
eISBN:
9780191749278
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199666126.003.0006
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter studies adaptive learning with multiple models. An agent is aware of potential model misspecification, and tries to detect it, in realtime, using an econometric specification test. If ... More


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