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 DP2014-22, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

Abstract: In estimation and calibration studies the concept of ergodicity plays a fundamental role. At the same time, a significant number of economic models do not satisfy the classical ergodicity conditions. Motivated by existing work on economic dynamics, we develop a new set of results on ergodicity using an ordertheoretic approach. Our conditions are necessary and sufficient, and, by varying the notion of order, can include the classical Markov ergodic theorem as a special case. We discuss implications, sufficient conditions and economic applications.

Keywords: Ergodicity; Consistency; Calibration (search for similar items in EconPapers)
JEL-codes: C62 C63 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2014-05
New Economics Papers: this item is included in nep-dge
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https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2014-22.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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