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Existence, Stability and Computation of Stationary Distributions: An Extension of the Hopenhayn-Prescott Theorem

  • Takashi Kamihigashi

    (Research Institute for Economics & Business Administration (RIEB), Kobe University, Japan)

  • John Stachurski

    (Research School of Economics, Australian National University, Canberra, Australia)

This paper strengthens the Hopenhayn and Prescott stability theorem for monotone economies. We extend the theorem to a larger class of applications, and develop new perspectives on the nature and causes of stability and instability. In addition, we show that models satisfying the Hopenhayn-Prescott theorem are ergodic, in the sense that sample averages of time series converge with probability one to their corresponding expectations under the stationary distribution, independent of initial conditions.

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File URL: http://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2011-32.pdf
File Function: First version, 2011
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Paper provided by Research Institute for Economics & Business Administration, Kobe University in its series Discussion Paper Series with number DP2011-32.

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Length: 42 pages
Date of creation: Dec 2011
Date of revision:
Handle: RePEc:kob:dpaper:dp2011-32
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