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Seeking Ergodicity in Dynamic Economies

Author

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  • Takashi Kamihigashi

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

  • John Stachurski

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

Abstract

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.

Suggested Citation

  • Takashi Kamihigashi & John Stachurski, 2014. "Seeking Ergodicity in Dynamic Economies," Discussion Paper Series DP2014-02, Research Institute for Economics & Business Administration, Kobe University.
    • Handle: RePEc:kob:dpaper:dp2014-02
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    References listed on IDEAS

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    3. Kenichiro McAlinn & Kosaku Takanashi, 2021. "Convergence of Computed Dynamic Models with Unbounded Shock," Papers 2103.06483, arXiv.org.
    4. Bäuerle, Nicole & Jaśkiewicz, Anna, 2018. "Stochastic optimal growth model with risk sensitive preferences," Journal of Economic Theory, Elsevier, vol. 173(C), pages 181-200.
    5. Robert Kirkby, 2016. "Value Function Iteration Toolkit: In Matlab, on the GPU," EcoMod2016 9122, EcoMod.

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    More about this item

    Keywords

    Ergodicity; consistency; calibration;
    All these keywords.

    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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