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.

MoreLess

Year of publication:	2004
Authors:	Van, Cuong Le ; Stachurski, John
Institutions:	Department of Economics, Faculty of Business and Economics
Subject:	Parametric \| Continuity \| Stationary Distributions

More details

Extent:	application/pdf
Series:	Department of Economics - Working Papers Series.
Type of publication:	Book / Working Paper
Notes:	Number 899 29 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005574811