The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Jul, 1994, Volume 62, Issue 4
https://doi.org/0012-9682(199407)62:4<745:SME>2.0.CO;2-D
p. 745-781
A. Mas-Colell, A. McLennan, D. Duffie, J. Geanakoplos
We establish conditions which (in various settings) guarantee the existence of equilibria described by ergodic Markov processes with a Borel state space $S$. Let $\mathscr{P}(S)$ denote the probability measures on $S$, and let $s \mapsto G(s) \subset \mathscr{P}(S)$ be a (possibly empty-valued) correspondence with closed graph characterizing intertemporal consistency, as prescribed by some particular model. A nonempty measurable set $J \subset S$ is self-justified if $G(s) \cap \mathscr{P}(J)$ is not empty for all $s \in J$. A time-homogeneous Markov equilibrium (THME) for $G$ is a self-justified set $J$ and a measurable selection $\Pi: J \rightarrow \mathscr{P}(J)$ from the restriction of $G$ to $J$. The paper gives sufficient conditions for existence of compact self-justified sets, and applies the theorem: If $G$ is convex-valued and has a compact self-justified set, then $G$ has an THME with an ergodic measure. The applications are (i) stochastic overlapping generations equilibria, (ii) an extension of the Lucas (1978) asset market equilibrium model to the case of heterogeneous agents, and (iii) equilibria for discounted stochastic games with uncountable state spaces.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
