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On geometric ergodicity of the commodity pricing model
Author(s) -
Nishimura Kazuo,
Stachurski John
Publication year - 2009
Publication title -
international journal of economic theory
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.351
H-Index - 11
eISSN - 1742-7363
pISSN - 1742-7355
DOI - 10.1111/j.1742-7363.2009.00110.x
Subject(s) - ergodicity , commodity , stationary distribution , convergence (economics) , simple (philosophy) , economics , distribution (mathematics) , rate of convergence , mathematical economics , joint probability distribution , econometrics , mathematics , computer science , markov chain , mathematical analysis , key (lock) , macroeconomics , finance , statistics , philosophy , computer security , epistemology
We provide a simple proof of geometric ergodicity for Samuelson's (1971) commodity pricing model. The proof yields a rate of convergence to the stationary distribution stated in terms of model primitives. We also provide a rate of convergence for prices to the stationary price process, and for the joint distribution of the state process to the stationary state process.