Estimation and Inference in Models with Multiple Behavioural Equilibria

Series

Brown Bag Seminars General Economics, Research on Monday
Speaker

Alexander Mayer (Erasmus University Rotterdam)
Field

Organizations and Markets

Location

Erasmus University Rotterdam, Campus Woudestein, Sanders 0-12
Rotterdam
Date and time

December 15, 2025
11:30 - 12:30

Abstract

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 under fairly general assumptions. We then study a nonlinear least squares estimator for the structural parameters and establish strong consistency and asymptotic normality. 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.