Stochastic growth: asymptotic distributions
This note studies conditions under which sequences of state variables generated by discrete-time stochastic optimal accumulation models have law of large numbers and central limit properties. Productivity shocks with unbounded support are considered. Instead of restrictions on the support of the shock, an “average contraction” property is required on technology. Copyright Springer-Verlag Berlin Heidelberg 2003
Volume (Year): 21 (2003)
Issue (Month): 4 (06)
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References listed on IDEAS
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- Mirman, Leonard J. & Zilcha, Itzhak, 1975. "On optimal growth under uncertainty," Journal of Economic Theory, Elsevier, vol. 11(3), pages 329-339, December.
- Stachurski, John, 2002.
"Stochastic Optimal Growth with Unbounded Shock,"
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- Mirman, Leonard J., 1973. "The steady state behavior of a class of one sector growth models with uncertain technology," Journal of Economic Theory, Elsevier, vol. 6(3), pages 219-242, June.
- repec:rus:cemicf:358 is not listed on IDEAS
- Binder, Michael & Pesaran, M Hashem, 1999. "Stochastic Growth Models and Their Econometric Implications," Journal of Economic Growth, Springer, vol. 4(2), pages 139-183, June.
- 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.
- Stachurski, J., 2001. "Log-Linearization of Perturbed Dynamical Systems, With Applications to Optimal Growth," Department of Economics - Working Papers Series 788, The University of Melbourne.
- Binder, M. & Pesaran, M.H., 1996. "Stochastic Growth," Cambridge Working Papers in Economics 9615, Faculty of Economics, University of Cambridge.
- Bhattacharya, Rabi & Majumdar, Mukul, 2001. "On a Class of Stable Random Dynamical Systems: Theory and Applications," Journal of Economic Theory, Elsevier, vol. 96(1-2), pages 208-229, January.
- Amir, R. & Evstigneev, I. V., 2000. "A functional central limit theorem for equilibrium paths of economic dynamics," Journal of Mathematical Economics, Elsevier, vol. 33(1), pages 81-99, February.
- 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 271-286, June. Full references (including those not matched with items on IDEAS)
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