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Parametric continuity of stationary distributions

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  • Cuong Le Van

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

  • John Stachurski

    (Universite de Melbourne - The University of Melbourne)

Abstract

For Markovian economic models, long-run equilibria are typically identified with the stationary (invariant) distributions generated by the model. In this paper weprovide new sufficient conditions for continuity in the map from parameters to these equilibria. Several existing results are shown to be special cases of our theorem.

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Bibliographic Info

Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00101157.

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Date of creation: Nov 2007
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Publication status: Published, Economic Theory, 2007, 33, 2, 333-348
Handle: RePEc:hal:cesptp:halshs-00101157

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00101157
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Keywords: Markov processes; stochastic dynamics; parametric continuity;

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  1. repec:cup:macdyn:v:6:y:2002:i:4:p:457-75 is not listed on IDEAS
  2. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez & Manuel Santos, 2004. "Convergence Properties of the Likelihood of Computed Dynamic Models," PIER Working Paper Archive 04-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  3. Leonard J Mirman & Olivier F. Morand & Kevin L. Reffett, 2004. "A Qualitative Approach to Markovian Equilibrium in Infinite Horizon Economies with Capital," Levine's Bibliography 122247000000000224, UCLA Department of Economics.
  4. Manuel S. Santos & Adrian Peralta-Alva, 2005. "Accuracy of Simulations for Stochastic Dynamic Models," Econometrica, Econometric Society, vol. 73(6), pages 1939-1976, November.
  5. 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.
  6. Futia, Carl A, 1982. "Invariant Distributions and the Limiting Behavior of Markovian Economic Models," Econometrica, Econometric Society, vol. 50(2), pages 377-408, March.
  7. Manuel S. Santos & Jesus Vigo-Aguiar, 1998. "Analysis of a Numerical Dynamic Programming Algorithm Applied to Economic Models," Econometrica, Econometric Society, vol. 66(2), pages 409-426, March.
  8. Duffie, Darrell & Singleton, Kenneth J, 1993. "Simulated Moments Estimation of Markov Models of Asset Prices," Econometrica, Econometric Society, vol. 61(4), pages 929-52, July.
  9. Ricard Torres, 1990. "Stochastic Dominance," Discussion Papers 905, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  10. Hopenhayn, Hugo A & Prescott, Edward C, 1992. "Stochastic Monotonicity and Stationary Distributions for Dynamic Economies," Econometrica, Econometric Society, vol. 60(6), pages 1387-406, November.
  11. Mark Huggett, 2003. "When are Comparative Dynamics Monotone?," Working Papers gueconwpa~03-03-12, Georgetown University, Department of Economics.
  12. Danthine, Jean-Pierre & Donaldson, John B, 1981. "Stochastic Properties of Fast vs. Slow Growing Economies," Econometrica, Econometric Society, vol. 49(4), pages 1007-33, June.
  13. Schenk Hopp , Klaus Reiner, 2002. "Is There A Golden Rule For The Stochastic Solow Growth Model?," Macroeconomic Dynamics, Cambridge University Press, vol. 6(04), pages 457-475, September.
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Cited by:
  1. Olson, Lars J. & Roy, Santanu, 2005. "Theory of Stochastic Optimal Economic Growth," Working Papers 28601, University of Maryland, Department of Agricultural and Resource Economics.
  2. Stephane Verani & Till Gross, 2013. "Financing constraints, firm dynamics, and international trade," Finance and Economics Discussion Series 2013-02, Board of Governors of the Federal Reserve System (U.S.).
  3. Moritz Kuhn, 2013. "Recursive Equilibria In An Aiyagari‐Style Economy With Permanent Income Shocks," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54, pages 807-835, 08.
  4. Eugenio Bobenrieth & Juan Bobenrieth, 2006. "A Foundation for the Solution of Consumption-Saving Behavior with Borrowing Constraint and Unbounded Marginal Utility," Working Papers 02-2006, Departamento de Economía, Universidad de Concepción.

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