Seeking Ergodicity in Dynamic Economies

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

No DP2014-02, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

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.

Keywords: Ergodicity; consistency; calibration (search for similar items in EconPapers)
JEL-codes: C62 C63 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2014-01
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https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2014-02.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)
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