Economists are studying how people form expectations that affect economic activity. By focusing on how households and firms learn from observed data and update their forecast rules over time, researchers have developed a new statistical learning approach. This approach helps explain how the economy can converge to different solutions, like rational expectations or persistent learning dynamics. It also sheds light on how expectations can cause fluctuations in the economy, affecting business cycles, asset prices, and policy decisions. This research provides a detailed analysis of this emerging field and extends existing knowledge on expectation formation in macroeconomics.