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Stochastic Growth: Asymptotic Distributions

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  • Stachurski, J.

Abstract

This note studies conditions under which sequences of capital per head generated by stochastic optimal accumulation models have law of large numbers and central limit properties. The regularity condition used on the productivity shock is somewhat different to that of previous studies. In particular, no restrictions are placed on its support. Instead, an "average contraction" property is required on the law of motion.

Suggested Citation

  • Stachurski, J., 2001. "Stochastic Growth: Asymptotic Distributions," Department of Economics - Working Papers Series 787, The University of Melbourne.
  • Handle: RePEc:mlb:wpaper:787
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    References listed on IDEAS

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    1. Mirman, Leonard J. & Zilcha, Itzhak, 1975. "On optimal growth under uncertainty," Journal of Economic Theory, Elsevier, vol. 11(3), pages 329-339, December.
    2. Stachurski, John, 2002. "Stochastic Optimal Growth with Unbounded Shock," Journal of Economic Theory, Elsevier, vol. 106(1), pages 40-65, September.
    3. Flam, S.D. & Evstigneev, I.V., 1997. "The Turnpike Property and the Central Limit Theorem in Stochastic Models of Economic Dynamics," Norway; Department of Economics, University of Bergen 171, Department of Economics, University of Bergen.
    4. Mirman, Leonard J., 1973. "The steady state behavior of a class of one sector growth models with uncertain technology," Journal of Economic Theory, Elsevier, vol. 6(3), pages 219-242, June.
    5. repec:rus:cemicf:358 is not listed on IDEAS
    6. Binder, Michael & Pesaran, M Hashem, 1999. "Stochastic Growth Models and Their Econometric Implications," Journal of Economic Growth, Springer, vol. 4(2), pages 139-183, June.
    7. Brock, William A. & Mirman, Leonard J., 1972. "Optimal economic growth and uncertainty: The discounted case," Journal of Economic Theory, Elsevier, vol. 4(3), pages 479-513, June.
    8. Stachurski, J., 2001. "Log-Linearization of Perturbed Dynamical Systems, With Applications to Optimal Growth," Department of Economics - Working Papers Series 788, The University of Melbourne.
    9. Binder, M. & Pesaran, M.H., 1996. "Stochastic Growth," Cambridge Working Papers in Economics 9615, Faculty of Economics, University of Cambridge.
    10. Bhattacharya, Rabi & Majumdar, Mukul, 2001. "On a Class of Stable Random Dynamical Systems: Theory and Applications," Journal of Economic Theory, Elsevier, vol. 96(1-2), pages 208-229, January.
    11. Amir, R. & Evstigneev, I. V., 2000. "A functional central limit theorem for equilibrium paths of economic dynamics," Journal of Mathematical Economics, Elsevier, vol. 33(1), pages 81-99, February.
    12. Mirman, Leonard J, 1972. "On the Existence of Steady State Measures for One Sector Growth Models with Uncertain Technology," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 13(2), pages 271-286, June.
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    Citations

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    Cited by:

    1. John Stachurski, 2004. "Asymptotic Statistical Properties Of The Neoclassical Optimal Growth Model," Department of Economics - Working Papers Series 898, The University of Melbourne.
    2. Olson, Lars J. & Roy, Santanu, 2005. "Theory of Stochastic Optimal Economic Growth," Working Papers 28601, University of Maryland, Department of Agricultural and Resource Economics.
    3. Nishimura, Kazuo & Stachurski, John, 2005. "Stability of stochastic optimal growth models: a new approach," Journal of Economic Theory, Elsevier, vol. 122(1), pages 100-118, May.

    More about this item

    Keywords

    CAPITAL ; PRODUCTIVITY ; ECONOMIC MODELS;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • O41 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - One, Two, and Multisector Growth Models

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