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Parametric Continuity of Stationary Distributions

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Author Info
Cuong Le Van
John Stachurski

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Abstract

The paper gives conditions under which stationary distributions of Markov models depend continuously on the parameters. It extends a well-known parametric continuity theorem for compact state space to the unbounded setting of standard econometrics and time series analysis. Applications to several theoretical and estimation problems are outlined.

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File URL: http://www.economics.unimelb.edu.au/SITE/research/workingpapers/wp04/899.pdf
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Publisher Info
Paper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 899.

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Length: 29 pages
Date of creation: 2004
Date of revision:
Handle: RePEc:mlb:wpaper:899

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Postal: Department of Economics, The University of Melbourne, 5th Floor, Economics and Commerce Building, Victoria, 3010, Australia
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Fax: +61 3 8344 6899
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Web page: http://www.economics.unimelb.edu.au
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Related research
Keywords: Parametric Continuity Stationary Distributions

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References listed on IDEAS
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  1. Mark Huggett, 2003. "When Are Comparative Dynamics Monotone?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(1), pages 1-11, January. [Downloadable!] (restricted)
    Other versions:
  2. Manuel S. Santos & Adrian Peralta-Alva, 2003. "Accuracy of Simulations for Stochastic Dynamic Models," Levine's Bibliography 666156000000000264, UCLA Department of Economics. [Downloadable!]
    Other versions:
  3. 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.
  4. 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. [Downloadable!] (restricted)
  5. 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. [Downloadable!] (restricted)
  6. 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. [Downloadable!] (restricted)
  7. 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. [Downloadable!] (restricted)
  8. repec:cup:macdyn:v:6:y:2002:i:4:p:457-75 is not listed on IDEAS
  9. Futia, Carl A, 1982. "Invariant Distributions and the Limiting Behavior of Markovian Economic Models," Econometrica, Econometric Society, vol. 50(2), pages 377-408, March. [Downloadable!] (restricted)
  10. 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. [Downloadable!]
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  11. Ricard Torres, 1990. "Stochastic Dominance," Discussion Papers 905, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
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