Parametric continuity of stationary distributions.

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.

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Year of publication:	2004-06
Authors:	Stachurski, John ; Van, Cuong Le
Institutions:	Maison des Sciences Économiques, Université Paris 1 (Panthéon-Sorbonne)
Subject:	Stationary distribution \| parametric continuity \| Markov process \| Solow-Phelps golden rule \| Foias operator \| V norm-like function \| Feller property

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Extent:	application/pdf
Series:	Cahiers de la Maison des Sciences Economiques. - ISSN 1624-0340.
Type of publication:	Book / Working Paper
Notes:	28 pages
Classification:	O41 - One, Two, and Multisector Growth Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005220199