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Seeking ergodicity in dynamic economies

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  • Kamihigashi, Takashi
  • Stachurski, John

Abstract

In estimation and calibration studies, the convergence of time series sample averages plays a central role. At the same time, a significant number of economic models do not satisfy the classical ergodicity conditions. Motivated by existing work on asymptotics of stochastic economic models, we develop a new set of results on limits of sample moments and other sample averages using an order-theoretic approach. Our results include a condition that is necessary and sufficient for convergence over a broad class of moment functions. We discuss implications, sufficient conditions and a range of economic applications.

Suggested Citation

  • Kamihigashi, Takashi & Stachurski, John, 2016. "Seeking ergodicity in dynamic economies," Journal of Economic Theory, Elsevier, vol. 163(C), pages 900-924.
  • Handle: RePEc:eee:jetheo:v:163:y:2016:i:c:p:900-924
    DOI: 10.1016/j.jet.2016.03.006
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    Cited by:

    1. repec:eee:jetheo:v:173:y:2018:i:c:p:181-200 is not listed on IDEAS
    2. Robert Kirkby, 2016. "Value Function Iteration Toolkit: In Matlab, on the GPU," EcoMod2016 9122, EcoMod.
    3. Robert Kirkby, 2017. "A Toolkit for Value Function Iteration," Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 1-15, January.

    More about this item

    Keywords

    Ergodicity; Monotonicity; Calibration;

    JEL classification:

    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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