Stochastic Growth: Asymptotic Distributions
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.
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"Stochastic Optimal Growth with Unbounded Shock,"
Department of Economics - Working Papers Series
777, The University of Melbourne.
- 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.
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- Binder, Michael & Pesaran, M Hashem, 1999. " Stochastic Growth Models and Their Econometric Implications," Journal of Economic Growth, Springer, vol. 4(2), pages 139-83, June.
- 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.
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- 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.
- 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.
- Mirman, Leonard J. & Zilcha, Itzhak, 1975. "On optimal growth under uncertainty," Journal of Economic Theory, Elsevier, vol. 11(3), pages 329-339, December.
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