Sample-Path Stability of Non-Stationary Dynamic Economic Systems
AbstractThe goal of this paper is to introduce and illustrate a new approach to the stability analysis of sample-paths of nonlinear stochastic economic models with non-stationary components. We place our study within the mathematical theory of random dynamical systems and apply the concept of a random fixed point which is tailor-made for the study of the long-term behavior of sample-paths in stochastic systems. The main tool for the application of this approach is a Banach-type fixed point theorem for non-stationary random dynamical systems which is proved here. The concept and the theorem are thoroughly explained and illustrated by two examples from stochastic growth theory.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Institute for Empirical Research in Economics - University of Zurich in its series IEW - Working Papers with number 046.
Date of creation:
Date of revision:
Sample-Path Stability; Random Fixed Points; Non-Stationary Random Dynamical Systems;
Find related papers by JEL classification:
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cogley, Timothy & Nason, James M., 1995.
"Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 19(1-2), pages 253-278.
- Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.
- Manjira Datta & Leonard J. Mirman, .
"Dynamic Externalities and Policy Coordination,"
97/11, Arizona State University, Department of Economics.
- Leonard J. Mirman & Manjira Datta, 1996. "Dynamic Externalities and Policy Coordination," CRIEFF Discussion Papers 9608, Centre for Research into Industry, Enterprise, Finance and the Firm.
- Manjira Datta & Leonard Mirman, . "Dynamic Externalities and Policy Coordination," Working Papers 2132841, Department of Economics, W. P. Carey School of Business, Arizona State University.
- Manjira Datta & Leonard Mirman, .
"Externalities, Market Power, and Resource Extraction,"
2132842, Department of Economics, W. P. Carey School of Business, Arizona State University.
- Datta, Manjira & Mirman, Leonard J., 1999. "Externalities, Market Power, and Resource Extraction," Journal of Environmental Economics and Management, Elsevier, vol. 37(3), pages 233-255, May.
- Manjira Datta & Leonard J. Mirman, . "Externalities, Market Power, and Resource Extraction," Working Papers 97/12, Arizona State University, Department of Economics.
- Fischer, Ronald D. & Mirman, Leonard J., 1992. "Strategic dynamic interaction : Fish wars," Journal of Economic Dynamics and Control, Elsevier, vol. 16(2), pages 267-287, April.
- Klaus Reiner Schenk-Hoppé & Björn Schmalfuss, .
"Random Fixed Points in a Stochastic Solow Growth Model,"
IEW - Working Papers
065, Institute for Empirical Research in Economics - University of Zurich.
- Schenk-Hoppe, Klaus Reiner & Schmalfu[ss], Bjorn, 2001. "Random fixed points in a stochastic Solow growth model," Journal of Mathematical Economics, Elsevier, vol. 36(1), pages 19-30, September.
- Mirman, Leonard J, 1972. "On the Existence of Steady State Measures for One Sector Growth Models with Uncertain Technology," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 13(2), pages 271-86, June.
- Binder, Michael & Pesaran, M Hashem, 1999. " Stochastic Growth Models and Their Econometric Implications," Journal of Economic Growth, Springer, vol. 4(2), pages 139-83, June.
- Binder, M. & Pesaran, M.H., 1996. "Stochastic Growth," Cambridge Working Papers in Economics 9615, Faculty of Economics, University of Cambridge.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marita Kieser).
If references are entirely missing, you can add them using this form.