Seeking ergodicity in dynamic economies

A-Tier
Journal: Journal of Economic Theory
Year: 2016
Volume: 163
Issue: C
Pages: 900-924

Authors (2)

Kamihigashi, Takashi (Kobe University) Stachurski, John (not in RePEc)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:eee:jetheo:v:163:y:2016:i:c:p:900-924
Journal Field
Theory
Author Count
2
Added to Database
2026-01-25