- Economics - Research Publications
Economics - Research Publications
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ItemStochastic growth with nonconvexities: the optimal caseNishimura, Kazuo ; Rudnicki, Ryszard ; STACHURSKI, JOHN ( 2004-02)This paper studies optimal investment and dynamicbehaviour of stochastically growing economies. We assume neitherconvex technology nor bounded support of the productivity shocks.A number of basic results concerning the investment policy and theRamsey–Euler equation are established. We also prove a fundamentaldichotomy pertaining to optimal growth models perturbedby standard econometric shocks: Either an economy is globallystable or it is globally collapsing to the origin.
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ItemAsymptotic statistical properties of the neoclassical optimal growth modelSTACHURSKI, JOHN ( 2004-02)The standard one-sector stochastic optimal growthmodel is shown to be not just ergodic but geometrically ergodic.In addition, it is proved that the time series generated by the optimalpath satisfy the Law of Large Numbers and the Central LimitTheorem.
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ItemEquivalent conditions for irreducibility of discrete time Markov chainsVan, Cuong Le ; STACHURSKI, JOHN ( 2004-02)We consider discrete time Markov chains on generalstate space. It is shown that a certain property referred to hereas nondecomposability is equivalent to irreducibility, and that aMarkov chain with invariant distribution is irreducible if and only ifthe invariant distribution is unique and assigns positive probabilityto all absorbing sets.
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ItemStochastic optimal growth when the discount rate vanishesNishimura, Kazuo ; STACHURSKI, JOHN ( 2004-07)It has been shown that long-run optimality of thelimit of discounted optima when the discount rate vanishes is impliedby a condition on the value function of the optimal program.We suggest a new method to verify this condition in the contextof one-sector optimal growth. The idea should be more widelyapplicable.