On Geometric Ergodicity of the Commodity Pricing Model
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.
|Collections||ANU Research Publications|
|Source:||International Journal of Economic Theory|
|01_Nishimura_On_Geometric_Ergodicity_of_the_2009.pdf||146.39 kB||Adobe PDF|
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