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Convergence of Computed Dynamic Models with Unbounded Shock

Author

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  • Kosaku Takanashi

    (Faculty of Economics, Keio University)

Abstract

The purpose of this paper is to provide the conditions for the convergence of invariant measure obtained from numerical simulations to the exact invariant measure. Santos and Peralta-Alva (2005) have studied the convergence of computed invariant measure of economic models which cannot be solved analytically and must be solved numerically or with some other form of approximation. However, they assume that the state space is compact and therefore, the support of the shock of dynamical system is assumed to be bounded. This paper is to relax the compactness assumption for the convergence of the approximated invariant measure.

Suggested Citation

  • Kosaku Takanashi, 2018. "Convergence of Computed Dynamic Models with Unbounded Shock," Keio-IES Discussion Paper Series 2018-003, Institute for Economics Studies, Keio University.
    • Handle: RePEc:keo:dpaper:2018-003
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    More about this item

    Keywords

    Economic Dynamics; Computational Approximation; Invariant Measure; Rate of convergence of Approximation;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General

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