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This paper considers a neoclassical optimal growth problem where the shock that perturbs the economy in each time period is potentially unbounded on the state space. Sufficient conditions for existence, uniqueness and stability of equilibria are derived in terms of the primitives of the model using recent techniques from the field of perturbed dynamical… (More)

- JOHN STACHURSKI, Peter Bardsley, John Creedy, Rabee Tourky, Cuong Le
- 2002

The paper considers random economic systems generating nonlinear time series on the positive half-ray R +. Using Lyapunov techniques, new conditions for existence, uniqueness and stability of stationary equilibria are obtained. The conditions generalize earlier results from the mathematical literature, and extend to models outside the scope of existing… (More)

This paper studies optimal investment and dynamic behaviour of stochastically growing economies. We assume neither convex technology nor bounded support of the productivity shocks. A number of basic results concerning the investment policy and the Ramsey–Euler equation are established. We also prove a fundamental dichotomy pertaining to optimal growth… (More)

This short note studies formally the common practice of log-linearizing stochastic economic models. We make precise the conditions under which stability of the original model can be inferred from that of the linearized model. A transformation to recover the stochastic equilibrium of the former from that of the latter is provided.

The paper proposes an Euler equation technique for analyzing the stability of differ-entiable stochastic programs. The main innovation is to use marginal reward directly as a Foster–Lyapunov function. This allows us to extend known stability results for stochastic optimal growth models, both weakening hypotheses and strengthening conclusions.

This paper proposes and implements a method to predict the evolution of the crosscountry income distribution using a stochastic parameterization of the Azariadis– Drazen (1990) nonconvex growth model. We estimate the dynamic structure of that model from data in the Penn World Tables, and define inductively all future distributions as a norm-convergent… (More)

- John Stachurski
- 2002

The date of receipt and acceptance will be inserted by the editor Summary. This note studies conditions under which sequences of state variables generated by discrete-time stochastic optimal accumulation models have law of large numbers and central limit properties. Productivity shocks with unbounded support are considered. Instead of restrictions on the… (More)

- JOHN STACHURSKI
- 2003

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 econo-metrics and time series analysis. Applications to several theoretical and estimation problems are outlined.

The look-ahead estimator is used to compute densities associated with Markov processes via simulation. We study a framework that extends the look-ahead esti-mator to a much broader range of applications. We provide a general asymptotic theory for the estimator, where both L 1 consistency and L 2 asymptotic normality are established. The L 2 asymptotic… (More)

- John Stachurski, John Creedy, Kazuo Nishimura, Rabee Tourky
- 2003

The paper demonstrates global stability in a class of stochastic overlapping generations economies with increasing returns. These results are applied to the study of path dependent dynamics. In particular, for nonlinear stochastic models it is seen that persistence of the historical state and formal ergodicity may easily coincide. A new definition of path… (More)