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Perfect simulation of stationary equilibria

Nishimura, Kazuo; Stachurski, John

Description

Using a variation of the coupling from the past technique, this paper develops algorithms which generate independent observations from the stationary distributions of various dynamic economic models. These variates can be used for calibration, calculation of steady state phenomena, and simulation-based estimation. As an application, we demonstrate how to generate exact samples from the stationary distribution of an incomplete markets model routinely calibrated by macroeconomists. Our...[Show more]

CollectionsANU Research Publications
Date published: 2010
Type: Journal article
URI: http://hdl.handle.net/1885/32420
Source: Journal of Economic Dynamics and Control
DOI: 10.1016/j.jedc.2009.10.010

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