کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098933 | 1376971 | 2010 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Global stochastic properties of dynamic models and their linear approximations
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
The dynamic properties of micro based stochastic macro models are often analyzed through a linearization around the associated deterministic steady state. Recent literature has investigated the errors made by such a deterministic approximation. Complementary to this literature we investigate how the linearization affects the stochastic properties of the original model. We consider a simple real business cycle model with noisy learning by doing. The solution has a stationary distribution that exhibits moment failure and has an unbounded support. The linear approximation, however, yields a stationary distribution with possibly a bounded support and all moments finite.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 34, Issue 5, May 2010, Pages 817-824
Journal: Journal of Economic Dynamics and Control - Volume 34, Issue 5, May 2010, Pages 817-824
نویسندگان
Ana Babus, Casper G. de Vries,