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Law of large numbers for large economies, a / Harald Uhlig.
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Law of large numbers for large economies, a / Harald Uhlig.
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Title
Law
of
large
numbers
for
large
economies
, a
/
Harald
Uhlig
.
Creator 1
Uhlig, Harald, 1961
Corporate Author
Federal Reserve Bank of Minneapolis. Research Dept.
Subject 1
Random
variablesMathematical
models
.
Subject 1 (JEL)
C10

Econometric
and
statistical
methods
:
General

General
Keywords
L2
law
of
large
numbers
;
Khinchines
law
of
large
numbers
;
Pettis
integral
;
Riemann
integral
;
Random
variable
;
Large
numbers
Abstract
[Please
note
that the
following
Greek
lettering
is
improperly
transcribed.]
If
[0,1]
is
a
measure
space
of
agents
and
X
a
collection
of
pairwise
uncorrelated
random
variables
with
common
finite
mean
U
and
variance
a ,
one
would
like
to
establish
a
law
of
large
numbers
(*)
Xdl
=
U
. In this
paper
we
propose
to
interpret
(*)
as a
Pettis
integral
.
Using
the
corresponding
Riemanntype
version
of this
integral
,
we
establish
(*)
and
interpret
it
as an
L2law
of
large
numbers
.
Intuitively
, the
main
idea
is
to
integrate
before
drawing
an
W
,
thus
avoiding
wellknow
measurability
problems
.
We
discuss
distributional
properties
of
i.i.d
.
random
shocks
across
the
population
.
We
given
examples
for the
economic
interpretability
of
our
definition
.
Finally
,
we
establish
a
vectorvalued
version
of the
law
of
large
numbers
for
economies
.
DateCreated
198808
DateDigital
20081106
Identifier
19880800fedmwp342
Series
Working
paper
(Federal
Reserve
Bank
of
Minneapolis
.
Research
Dept.)
Publisher
Minneapolis : Federal Reserve Bank of Minneapolis
Format
PDF
DateAvailable
20100427
RelationReplaces
19870200fedmwp342
Bibliographic Citation
Uhlig, Harald. "A Law of Large Numbers for Large Economies." Federal Reserve Bank of Minneapolis. Research Dept. Working Papers, no. 342 (1988).
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