On the fundamental difference between ergodic and non-ergodic processes in economics

19 May, 2017 at 19:43 | Posted in Statistics & Econometrics | 2 Comments

Yours truly has tried to explain the fundamental difference between time averages and ensemble averages repeatedly on this blog. Still people obviously seem to have problems grasping it. Maybe this video will help …

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2 Comments

  1. Samuelson said the axiom of ergodicity is necessary for economics to develop as a science.
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    If this proposition is accepted (and it may not be) then Keynes’s throwing over of the axiom of ergodicity as argued by Paul Davidson and I think Lars, might imply that Keynes, Davidson and Lars, if they agreed with Samuelson, would not consider economics a developable science.
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    Which is fine by me.

    • And it has to be said that it has been argued by some that Samuelson did not actually believe this statement on ergodicity to be a valid proposition but merely used this statement as a polemical device.
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      It is a statement that Paul Davidson has popularized.


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