Seeking ergodicity in dynamic economies

Takashi Kamihigashi, John Stachurski*

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    3 Citations (Scopus)

    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.

    Original languageEnglish
    Pages (from-to)900-924
    Number of pages25
    JournalJournal of Economic Theory
    Volume163
    DOIs
    Publication statusPublished - 1 May 2016

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