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)
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.
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)
We study a two-country version of Matsuyama's (Econometrica, 72, p. 853–84, 2004) world economy model. As in Matsuyama's model, symmetry-breaking can be observed, and symmetry-breaking generates endogenously determined levels of inequality. In addition, we show that when the countries differ in population size, their interaction through credit markets may… (More)
In both estimation and calibration studies, the notion of ergodicity plays a fundamental role, permitting time series averages to be regarded as approximations to population means. As it turns out, many economic models routinely used for quantitative modeling do not satisfy the classical ergodicity conditions. In this paper we develop a new set of… (More)