Seeking ergodicity in dynamic economies

Takashi Kamihigashi and John Stachurski

Journal of Economic Theory, 2016, vol. 163, issue C, 900-924

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 order-theoretic 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)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Seeking Ergodicity in Dynamic Economies (2015)
Working Paper: Seeking Ergodicity in Dynamic Economies (2014)
Working Paper: Seeking Ergodicity in Dynamic Economies (2014)
Working Paper: Seeking Ergodicity in Dynamic Economies (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:163:y:2016:i:c:p:900-924

DOI: 10.1016/j.jet.2016.03.006

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