Parametric continuity of stationary distributions

John Stachurski () and Cuong Le van

Cahiers de la Maison des Sciences Economiques from Université Panthéon-Sorbonne (Paris 1)

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)
JEL-codes: O41 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2004-06
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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ftp://mse.univ-paris1.fr/pub/mse/cahiers2004/B04059.pdf (application/pdf)

Related works:
Journal Article: Parametric continuity of stationary distributions (2007)
Working Paper: Parametric continuity of stationary distributions (2007)
Working Paper: Parametric Continuity of Stationary Distributions (2006)
Working Paper: Parametric Continuity of Stationary Distributions (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:wpsorb:b04059

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