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Author: | Krebs, T. |
Title: | Statistical equilibrium in one-step forward looking economic models |
Journal: | Journal of Economic Theory
1997 : APR, VOL. 73:2, p. 365-394 |
Index terms: | EQUILIBRIUM ANALYSIS ECONOMETRIC MODELS STATISTICAL METHODS |
Language: | eng |
Abstract: | The article combines statistical with economic equilibrium analysis in the context of one-step forward looking economic models. The economic analysis determines a set of Markov processes consistent with economic equilibrium. The statistical equilibrium concept rationalizes the introduction of a probability measure on the set of expectational equilibria. There exists a unique expectational equilibrium realized with probability one, the statistical expectational equilibrium, in the infinite observations limit. Whenever the set of expectational equilibria is a compact andconvex set, the statistical method is applicable. |
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