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Perfect simulation for models of industry dynamics

Kamihigashi, Takashi; Stachurski, John

Description

In this paper we introduce a technique for perfect simulation from the stationary distribution of a standard model of industry dynamics. The method can be adapted to other, possibly non-monotone, regenerative processes found in industrial organization and other fields of economics. The algorithm we propose is a version of coupling from the past. It is straightforward to implement and exploit the regenerative property of the process in order to achieve rapid coupling.

CollectionsANU Research Publications
Date published: 2015-01
Type: Journal article
URI: http://hdl.handle.net/1885/13587
Source: Journal of Mathematical Economics
DOI: 10.1016/j.jmateco.2014.11.004

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