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Seeking Ergodicity in Dynamic Economies

Author

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  • Takashi Kamihigashiw
  • John Stachurski

Abstract

In estimation and calibration studies the concept of ergodicity plays a fundamental role. At the same time, a significant number of economic models do not satisfy the classical ergodicity conditions. Motivated by existing work on economic dynamics, we develop a new set of results on ergodicity using an ordertheoretic approach. Our conditions are necessary and sufficient, and, by varying the notion of order, can include the classical Markov ergodic theorem as a special case. We discuss implications, sufficient conditions and economic applications.

Suggested Citation

  • Takashi Kamihigashiw & John Stachurski, 2014. "Seeking Ergodicity in Dynamic Economies," Working Papers 2014-402, Department of Research, Ipag Business School.
  • Handle: RePEc:ipg:wpaper:2014-402
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    References listed on IDEAS

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    1. Kamihigashi, Takashi & Stachurski, John, 2012. "An order-theoretic mixing condition for monotone Markov chains," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 262-267.
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    5. Jess Benhabib & Alberto Bisin & Shenghao Zhu, 2011. "The Distribution of Wealth and Fiscal Policy in Economies With Finitely Lived Agents," Econometrica, Econometric Society, vol. 79(1), pages 123-157, January.
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    8. Philippe Aghion & Patrick Bolton, 1997. "A Theory of Trickle-Down Growth and Development," Review of Economic Studies, Oxford University Press, vol. 64(2), pages 151-172.
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    10. Roger E. A. Farmer & Daniel F. Waggoner & Tao Zha, 2009. "Indeterminacy in a forward-looking regime switching model," International Journal of Economic Theory, The International Society for Economic Theory, vol. 5(1), pages 69-84.
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    12. de Hek, Paul A, 1999. "On Endogenous Growth under Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(3), pages 727-744, August.
    13. Morand, Olivier F. & Reffett, Kevin L., 2007. "Stationary Markovian equilibrium in overlapping generation models with stochastic nonclassical production and Markov shocks," Journal of Mathematical Economics, Elsevier, vol. 43(3-4), pages 501-522, April.
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    More about this item

    Keywords

    Ergodicity; consistency; 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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