Global stochastic properties of dynamic models and their linear approximations

Ana Babus; rnCasper G. de Vries

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Global stochastic properties of dynamic models and their linear approximations

机译：动态模型的全局随机特性及其线性逼近

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摘要

The dynamic properties of micro based stochastic macro models are often analyzed through a linearization around the associated deterministic steady state. Recent literature has investigated the errors made by such a deterministic approximation. Complementary to this literature we investigate how the linearization affects the stochastic properties of the original model. We consider a simple real business cycle model with noisy learning by doing. The solution has a stationary distribution that exhibits moment failure and has an unbounded support. The linear approximation, however, yields a stationary distribution with possibly a bounded support and all moments finite.

机译：通常通过围绕相关的确定性稳态进行线性化来分析基于微观的随机宏模型的动态特性。最近的文献已经研究了这种确定性近似所产生的误差。作为对该文献的补充，我们研究了线性化如何影响原始模型的随机特性。我们考虑一个简单的实际商业周期模型，该模型具有边做边学的学习功能。该解决方案具有固定分布，表现出力矩破坏，并且具有无限的支持。但是，线性近似会产生一个稳定的分布，其中可能带有有限的支撑并且所有力矩都是有限的。

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来源
《Journal of Economic Dynamics and Control》 |2010年第5期|p.817-824|共8页
作者
Ana Babus; rnCasper G. de Vries;
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作者单位

University of Cambridge, UK;

rnDepartment of Economics H8-33, Erasmus University Rotterdam, P.O. Box 1738, 3000 DR Rotterdam, The Netherlands;

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原文格式 PDF
正文语种 eng
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关键词
linearization; ARCH process; real business cycles model; stochastic difference equation;

机译：线性化ARCH过程;真实的商业周期模型;随机差分方程;

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1. Reliability-based synthesis of non-linear stochastic dynamical systems: a global approximation approach [J] . Hector A. Jensen, Macarena S. Ferre, Danilo S. Kusanovic International Journal of Reliability and Safety . 2010,第2a3期

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3. On the convergence of the dynamic stochastic approximation method for stochastic non-linear multidimensional dynamic systems [J] . Sorour El Sayed Kybernetika . 1978,第1期

机译：随机非线性多维动力系统的动态随机逼近方法的收敛性
4. OPTIMAL PATHS, CAUSTICS, AND BOUNDARY LAYER APPROXIMATIONS IN STOCHASTICALLY PERTURBED DYNAMICAL SYSTEMS [C] . Robert S. Maier, Daniel L. Stein Biennial Conference on Mechanical Vibration and Noise . 1995

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6. Experimental Design for Stochastic Models of Nonlinear Signaling Pathways Using an Interval-Wise Linear Noise Approximation and State Estimation [O] . Christoph Zimmer -1

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7. Global Stochastic Properties of Dynamic Models and their Linear Approximations [O] . Babus A.M. (Ana Maria), Vries C.G. (Casper) de 2010

机译：动态模型的全局随机性质及其线性逼近

Global stochastic properties of dynamic models and their linear approximations

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