The Turnpike Property and the Central Limit Theorem in Stochastic Models of Economic Dynamics
Abstract
The paper analyzes asymptotic properties of optimal paths in multisector stochastic models of economic dynamics. We find conditions under which the rate of convergence in stochastic turnpike theorems is exponential. Using this result, we prove a functional central limit theorem for sums of random rewards accumulated along the optimal paths.Download Info
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Bibliographic Info
Paper provided by Department of Economics, University of Bergen in its series Norway; Department of Economics, University of Bergen with number 171.Length: 38 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:fth:bereco:171
Contact details of provider:
Postal: Department of Economics, University of Bergen Fosswinckels Gate 6. N-5007 Bergen, Norway
Phone: (+47)55589200
Fax: (+47)55589210
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Web page: http://www.uib.no/econ/
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Related research
Keywords: STOCHASTIC MODELS;Find related papers by JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- John Stachurski, 2004. "Asymptotic Statistical Properties Of The Neoclassical Optimal Growth Model," Department of Economics - Working Papers Series 898, The University of Melbourne.
- Stachurski, J., 2001.
"Stochastic Growth: Asymptotic Distributions,"
Department of Economics - Working Papers Series
787, The University of Melbourne.
- John Stachurski, 2003. "Stochastic growth: asymptotic distributions," Economic Theory, Springer, vol. 21(4), pages 913-919, 06.
- Stachurski, J., 2001.
"Stochastic Optimal Growth with Unbounded Shock,"
Department of Economics - Working Papers Series
777, The University of Melbourne.
- Stachurski, John, 2002. "Stochastic Optimal Growth with Unbounded Shock," Journal of Economic Theory, Elsevier, vol. 106(1), pages 40-65, September.
- 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.
- Amir, Rabah & Evstigneev, Igor, 1999. "Stochastic Version Of Polterovich'S Model: Exponential Turnpike Theorems For Equilibrium Paths," Macroeconomic Dynamics, Cambridge University Press, vol. 3(02), pages 149-166, June.
- 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.
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