Parametric continuity of stationary distributions
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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Volume (Year): 33 (2007)
Issue (Month): 2 (November)
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- Ricard Torres, 1990. "Stochastic Dominance," Discussion Papers 905, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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- Jesus Fernandez-Villaverde & Juan Rubio & Manuel Santos, 2005. "Convergence Properties of the Likelihood of Computed Dynamic Models," NBER Technical Working Papers 0315, National Bureau of Economic Research, Inc.
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- repec:cup:macdyn:v:6:y:2002:i:4:p:457-75 is not listed on IDEAS
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- 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.
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