Self-confirming equilibria are limiting outcomes of purposeful interactions among a collection of adaptive agents, each of whom averages past data to approximate moments of conditional probability distributions. Self-confirming equilibria are powerful tools to investigate dynamic economic problems such as the limiting behaviour of learning systems, the selection of plausible equilibria in games and dynamic macroeconomic models, the incidence and distribution of rare events that occasionally arise as large deviations from self-confirming equilibria, and how agents respond to model uncertainty.
KeywordsAdaptive learning Law of large numbers Learning rules Ordinary differential equations Perfect foresight Rational expectations equilibrium Recursive learning algorithms Robust control Self-confirming equilibrium Stochastic approximation algorithms
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