Econometrica: Jul, 1986, Volume 54, Issue 4
Learning Procedures and Convergence to Rationality
https://www.jstor.org/stable/1912839
p. 845-868
C. Fourgeaud, C. Gourieroux, J. Pradel
Macroeconomic models with rational expectations find a new justification if these models appear as limits of some learning procedures. In this paper we consider the case in which, during the learning period, the predictions are obtained by regression. We exhibit the necessary and sufficient condition on the parameter of the model ensuring the convergence of the learning process. The limit is the solution of a rational expectations model in which the information set only includes the exogenous variables used in the auxiliary regression.