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The first part of the paper is a brief introduction to the concepts and methods used in recent endogenous business cycles models. Endogenous deterministic and stochastic fluctuations are bound to occur, under increasingly plausible assumptions, in models with individual optimization, market...
Persistent link: https://www.econbiz.de/10005196035
This paper derives the asymptotic distribution of a smoothing-based estimator of the Lyapunov exponent for a stochastic time series under two general scenarios. In the first case, we are able to establish root-T consistency and asymptotic normality, while in the second case, which is more...
Persistent link: https://www.econbiz.de/10005593525