Seeking ergodicity in dynamic economies

• 成果类型: Article
• 署名作者: Kamihigashi, Takashi; Stachurski, John
• 署名单位: Kobe University; Australian National University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2016.03.006
• 发表日期: 2016
• 页码: 900-924
• 关键词: Ergodicity; MONOTONICITY; calibration

摘要

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. (C) 2016 Elsevier Inc. All rights reserved.