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Stochastic growth: asymptotic distributions

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  • John Stachurski

Abstract

This note studies conditions under which sequences of state variables generated by discrete-time stochastic optimal accumulation models have law of large numbers and central limit properties. Productivity shocks with unbounded support are considered. Instead of restrictions on the support of the shock, an “average contraction” property is required on technology. Copyright Springer-Verlag Berlin Heidelberg 2003

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File URL: http://hdl.handle.net/10.1007/s00199-002-0259-x
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Bibliographic Info

Article provided by Springer in its journal Economic Theory.

Volume (Year): 21 (2003)
Issue (Month): 4 (06)
Pages: 913-919

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Handle: RePEc:spr:joecth:v:21:y:2003:i:4:p:913-919

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Related research

Keywords: Keywords and Phrases: Stochastic growth; Law of large numbers; Central limit theorem.; JEL Classification Numbers: C51; C62; O41.;

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References

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  1. Binder, M. & Pesaran, M.H., 1996. "Stochastic Growth," Cambridge Working Papers in Economics 9615, Faculty of Economics, University of Cambridge.
  2. Stachurski, J., 2001. "Stochastic Optimal Growth with Unbounded Shock," Department of Economics - Working Papers Series 777, The University of Melbourne.
  3. Mirman, Leonard J. & Zilcha, Itzhak, 1975. "On optimal growth under uncertainty," Journal of Economic Theory, Elsevier, vol. 11(3), pages 329-339, December.
  4. repec:rus:cemicf:358 is not listed on IDEAS
  5. Amir, R. & Evstigneev, I. V., 2000. "A functional central limit theorem for equilibrium paths of economic dynamics," Journal of Mathematical Economics, Elsevier, vol. 33(1), pages 81-99, February.
  6. Brock, William A. & Mirman, Leonard J., 1972. "Optimal economic growth and uncertainty: The discounted case," Journal of Economic Theory, Elsevier, vol. 4(3), pages 479-513, June.
  7. Mirman, Leonard J., 1973. "The steady state behavior of a class of one sector growth models with uncertain technology," Journal of Economic Theory, Elsevier, vol. 6(3), pages 219-242, June.
  8. Flam, S.D. & Evstigneev, I.V., 1997. "The Turnpike Property and the Central Limit Theorem in Stochastic Models of Economic Dynamics," Norway; Department of Economics, University of Bergen 171, Department of Economics, University of Bergen.
  9. Bhattacharya, Rabi & Majumdar, Mukul, 2001. "On a Class of Stable Random Dynamical Systems: Theory and Applications," Journal of Economic Theory, Elsevier, vol. 96(1-2), pages 208-229, January.
  10. Binder, Michael & Pesaran, M Hashem, 1999. " Stochastic Growth Models and Their Econometric Implications," Journal of Economic Growth, Springer, vol. 4(2), pages 139-83, June.
  11. Stachurski, J., 2001. "Log-Linearization of Perturbed Dynamical Systems, With Applications to Optimal Growth," Department of Economics - Working Papers Series 788, The University of Melbourne.
  12. Mirman, Leonard J, 1972. "On the Existence of Steady State Measures for One Sector Growth Models with Uncertain Technology," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 13(2), pages 271-86, June.
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Citations

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Cited by:
  1. John Stachurski, 2004. "Asymptotic Statistical Properties Of The Neoclassical Optimal Growth Model," Department of Economics - Working Papers Series 898, The University of Melbourne.
  2. Nishimura, Kazuo & Stachurski, John, 2005. "Stability of stochastic optimal growth models: a new approach," Journal of Economic Theory, Elsevier, vol. 122(1), pages 100-118, May.
  3. Olson, Lars J. & Roy, Santanu, 2005. "Theory of Stochastic Optimal Economic Growth," Working Papers 28601, University of Maryland, Department of Agricultural and Resource Economics.

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