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Ergodic properties of conditional forecast functions of stable systems (☆)

Author

Listed:
  • Chin-Shan Chuang

    (Department of Statistics, Stanford University, Sequoia Hall, Stanford, CA 94305, USA)

Abstract

This paper analyzes the behavior of conditional forecast functions in stable systems. We study convergence of optimal forecast functions, of forecast functions obtained by conditioning on previous values, and conditional and joint densities.

Suggested Citation

  • Chin-Shan Chuang, 1996. "Ergodic properties of conditional forecast functions of stable systems (☆)," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 8(3), pages 521-530.
  • Handle: RePEc:spr:joecth:v:8:y:1996:i:3:p:521-530 Note: Received: December 9, 1994;revised version December 20, 1995
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    References listed on IDEAS

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    1. Akyol, Ahmet & Athreya, Kartik, 2005. "Risky higher education and subsidies," Journal of Economic Dynamics and Control, Elsevier, vol. 29(6), pages 979-1023, June.
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    More about this item

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations

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