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Seeking Ergodicity in Dynamic Economies

  • Takashi Kamihigashi

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

  • John Stachurski

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

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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File URL: http://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2014-02.pdf
File Function: First version, 2014
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Paper provided by Research Institute for Economics & Business Administration, Kobe University in its series Discussion Paper Series with number DP2014-02.

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Length: 29 pages
Date of creation: Jan 2014
Date of revision:
Handle: RePEc:kob:dpaper:dp2014-02
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