Estimation and inference in models with multiple behavioural equilibria
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866912953498861568 |
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| author | Mayer, Alexander Raggi, Davide |
| author_facet | Mayer, Alexander Raggi, Davide |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_04541 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Estimation and inference in models with multiple behavioural equilibria Mayer, Alexander Raggi, Davide Econometrics 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. |
| title | Estimation and inference in models with multiple behavioural equilibria |
| topic | Econometrics |
| url | https://arxiv.org/abs/2512.04541 |