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Seeking Ergodicity in Dynamic Economies

  • Takashi Kamihigashi
  • John Stachurski

In both estimation and calibration studies, the notion of ergodicity plays a fundamental role, permitting time series averages to be regarded as approximations to population means. As it turns out, many economic models routinely used for quantitative modeling do not satisfy the classical ergodicity conditions. In this paper we develop a new set of ergodicity conditions orientated towards economic dynamics. We also provide sufficient conditions suitable for a variety of applications. It’s notable that the classical ergodicity results can be recovered as a special case of our main theorem.

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Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-086.

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Length: 21 pages
Date of creation: 12 Feb 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-086
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