LOGIN TO YOUR ACCOUNT

Username
Password
Remember Me
Or use your Academic/Social account:

CREATE AN ACCOUNT

Or use your Academic/Social account:

Congratulations!

You have just completed your registration at OpenAire.

Before you can login to the site, you will need to activate your account. An e-mail will be sent to you with the proper instructions.

Important!

Please note that this site is currently undergoing Beta testing.
Any new content you create is not guaranteed to be present to the final version of the site upon release.

Thank you for your patience,
OpenAire Dev Team.

Close This Message

CREATE AN ACCOUNT

Name:
Username:
Password:
Verify Password:
E-mail:
Verify E-mail:
*All Fields Are Required.
Please Verify You Are Human:
fbtwitterlinkedinvimeoflicker grey 14rssslideshare1

A new approach to stability analysis for economic systems

Title
A new approach to stability analysis for economic systems
Funding
ARC | Discovery Projects
Contract (GA) number
DP120100321
Start Date
2012/01/01
End Date
2014/12/31
Open Access mandate
no
Organizations
-
More information
http://purl.org/au-research/grants/arc/DP120100321

 

  • Perfect Simulation for Models of Industry Dynamics

    Takashi Kamihigashi; John Stachurski (2014)
    Projects: ARC | A new approach to stability analysis for economic systems (DP120100321)
    In this paper we introduce a technique for perfect simulation from the stationary distribution of a standard model of industry dynamics. The method can be adapted to other, possibly non-monotone, regenerative processes found in industrial organization and other fields of economics. The algorithm we propose is a version of coupling from the past. It is straightforward to implement and exploits the regenerative property of the process in order to achieve rapid coupling. Keywords: Regeneration, ...

    Partial Stochastic Dominance

    Takashi Kamihigashi; John Stachurski (2014)
    Projects: ARC | A new approach to stability analysis for economic systems (DP120100321)
    The stochastic dominance ordering over probability distributions is one of the most familiar concepts in economic and financial analysis. One difficulty with stochastic dominance is that many distributions are not ranked at all, even when arbitrarily close to other distributions that are. Because of this, several measures of ”partial” or ”near” stochastic dominance have been introduced into the literature—albeit on a somewhat ad hoc basis. This paper argues that there is a single measure of e...

    Existence, Uniqueness and Stability of Stationary Distributions: An Extension of the Hopenhayn-Prescott Theorem

    Takashi Kamihigashi; John Stachurski (2012)
    Projects: ARC | A new approach to stability analysis for economic systems (DP120100321)
    This paper strengthens the Hopenhayn-Prescott stability theorem for monotone economies by extending it to a significantly larger class of models. We provid general conditions for existence, uniqueness and stability of stationary distributions. The conditions in our main result are both necessary and sufficient for global stability of monotone economies that satisfy a weak mixing condition introduced in the paper. Through our analysis we develop new insights on the nature and causes of stabili...

    Exact Sampling from the Stationary Distribution of Entry-Exit Models

    Takashi Kamihigashi; John Stachurski (2013)
    Projects: ARC | A new approach to stability analysis for economic systems (DP120100321)
    In equilibrium models of firm dynamics, the stationary equilibrium distribution of firms summarizes the predictions of the model for a given set of primitives. Focusing on Hopenhayn's seminal model of firm dynamics with entry and exit (Econometrica, 60:5, 1992, p. 1127–1150), we provide an algorithm that samples exactly from the stationary distribution for any specified exit threshold. The algorithm is able to rapidly generate large numbers of exact and independent draws from this distributio...

    Stability Analysis for Random Dynamical Systems in Economics

    Takashi Kamihigashi; John Stachurski (2014)
    Projects: ARC | A new approach to stability analysis for economic systems (DP120100321)
    Random dynamical systems encountered in economics have certain distinctive characteristics that make them particularly well suited to analysis using the tools for studying Markov processes developed by Rabi N. Bhattacharya and his coauthors over the last few decades. In this essay we discuss the significance of these tools for both mathematicians and economists, provide some historical perspective and review some recent related contributions.

    Stochastic Stability in Monotone Economies

    Takashi Kamihigashi; John Stachurski (2013)
    Projects: ARC | A new approach to stability analysis for economic systems (DP120100321)
    This paper extends a family of well-known stability theorems for monotone economies to a significantly larger class of models. We provide a set of general conditions for existence, uniqueness and stability of stationary distributions when monotonicity holds. The conditions in our main result are both necessary and sufficient for global stability of monotone economies that satisfy a weak mixing condition introduced in the paper. Through our analysis we develop new insights into the nature and ...

    Stochastic Optimal Growth with Risky Labor Supply

    Yiyong CAI; Takashi Kamihigashi; John Stachurski (2013)
    Projects: ARC | A new approach to stability analysis for economic systems (DP120100321)
    Production takes time, and labor supply and profit maximization decisions that relate to current production are typically made before all shocks affecting that production have been realized. In this paper we re-examine the problem of stochastic optimal growth with aggregate risk where the timing of the model conforms to this information structure. We provide a set of conditions under which the economy has a unique, nontrivial and stable stationary distribution. In addition, we verify key opti...

    Exact Draws from the Stationary Distribution of Entry-Exit Models

    Takashi Kamihigashi; John Stachurski (2012)
    Projects: ARC | A new approach to stability analysis for economic systems (DP120100321)
    In equilibrium models of firm dynamics, the stationary equilibrium distribution of firms summarizes the predictions of the model for a given set of primitives. Focusing on Hopenhayn's seminal model of firm dynamics with entry and exit (Econometrica, 60:5, 1992, p.~1127--1150), we provide an algorithm that generates exact draws from the stationary distribution in finite time for any specified exit threshold. The technique is able to rapidly generate large numbers of exact and independent draws.

    An Axiomatic Approach to Measuring Degree of Stochastic Dominance

    Takashi Kamihigashi; John Stachurski (2014)
    Projects: ARC | A new approach to stability analysis for economic systems (DP120100321)
    In recent years, a range of measures of "partial" or "degree of" stochastic dominance have been introduced. These measures attempt to determine the extent to which one distribution is dominated by another. In order to systematically assess these proposed measures and their relationship to partial stochastic dominance, we adopt an axiomatic approach. We propose axioms for measuring degree of stochastic dominance and study the relationship between them. Among other findings, we show that one an...

    Exact Sampling for Industry Dynamics and Other Regenerative Processes

    Takashi Kamihigashi; John Stachurski (2013)
    Projects: ARC | A new approach to stability analysis for economic systems (DP120100321)
    In this paper we introduce a technique for perfect sampling from the stationary distribution of possibly non-monotone regenerative processes, such as those that describe industry dynamics (where regeneration corresponds to the process of exit of firms and entry of new ones). The algorithm we propose is a version of coupling from the past that is straightforward to implement, and that exploits the regenerative property of the process in order to achieve rapid coupling.
  • No project research data found
  • Scientific Results

    Chart is loading... It may take a bit of time. Please be patient and don't reload the page.

    PUBLICATIONS BY ACCESS MODE

    Chart is loading... It may take a bit of time. Please be patient and don't reload the page.

    Publications in Repositories

    Chart is loading... It may take a bit of time. Please be patient and don't reload the page.

Share - Bookmark

App Box