Parametric continuity of stationary distributions

John Stachurski and Cuong Le Van ()
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John Stachurski: CORE - Center of Operation Research and Econometrics [Louvain] - UCL - Université Catholique de Louvain = Catholic University of Louvain
Cuong Le Van: CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, CORE - Center of Operation Research and Econometrics [Louvain] - UCL - Université Catholique de Louvain = Catholic University of Louvain

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Abstract: The paper gives conditions under which stationary distributions of Markov models depend continuously on the parameters. It extends a well-known parametric continuity theorem for compact state space to the unbounded setting of standard econometrics and time series analysis. Applications to several theoretical and estimation problems are outlined.

Keywords: stationary distribution; parametric continuity; Markov process; Solow-Phelps golden rule; Foias operator; V norm-like function; Feller property (search for similar items in EconPapers)
Date: 2004-06
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-03331313
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Citations: View citations in EconPapers (1)

Published in 2004

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-03331313

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