Seeking Ergodicity in Dynamic Economies

Takashi Kamihigashi and John Stachurski
Additional contact information
John Stachurski: Research School of Economics, Australian National University, Australia

No DP2014-38, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

Abstract: In estimation and calibration studies the convergence of time series sample averages plays a central role. At the same time, a significant number of economic models do not satisfy the classical ergodicity conditions. Motivated by existing work on asymptotics of stochastic economic models, we develop a new set of results on limits of sample moments and other sample averages using an ordertheoretic approach. Our results include a condition that is necessary and sufficient for convergence over a broad class of moment functions. We discuss implications, sufficient conditions and a range of economic applications.

Keywords: Ergodicity; Monotonicity; Calibration (search for similar items in EconPapers)
JEL-codes: C62 C63 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2014-11
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2014-38.pdf First version, 2014 (application/pdf)

Related works:
Journal Article: Seeking ergodicity in dynamic economies (2016)
Working Paper: Seeking Ergodicity in Dynamic Economies (2015)
Working Paper: Seeking Ergodicity in Dynamic Economies (2014)
Working Paper: Seeking Ergodicity in Dynamic Economies (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kob:dpaper:dp2014-38

Access Statistics for this paper

More papers in Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University 2-1 Rokkodai, Nada, Kobe 657-8501 JAPAN. Contact information at EDIRC.
Bibliographic data for series maintained by Office of Promoting Research Collaboration, Research Institute for Economics & Business Administration, Kobe University (kenjo@rieb.kobe-u.ac.jp).