Parametric continuity of stationary distributions
AbstractThe 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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Bibliographic InfoPaper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number b04059.
Length: 28 pages
Date of creation: Jun 2004
Date of revision:
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Stationary distribution; parametric continuity; Markov process; Solow-Phelps golden rule; Foias operator; V norm-like function; Feller property;
Other versions of this item:
- Cuong Le Van & John Stachurski, 2004. "Parametric Continuity of Stationary Distributions," Department of Economics - Working Papers Series 899, The University of Melbourne.
- Cuong Le Van & John Stachurski, 2006. "Parametric Continuity of Stationary Distributions," KIER Working Papers 616, Kyoto University, Institute of Economic Research.
- O41 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - One, Two, and Multisector Growth Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-03-13 (All new papers)
- NEP-ECM-2005-03-13 (Econometrics)
- NEP-ETS-2005-03-13 (Econometric Time Series)
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