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Perfect simulation of stationary equilibria

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Author Info

  • Nishimura, Kazuo
  • Stachurski, John

Abstract

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 implementation generates 100,000 independent draws from the stationary distribution in less than 3Â s.

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File URL: http://www.sciencedirect.com/science/article/B6V85-4XHM13H-1/2/61ccd1175bfcbccbebfa60aefa08b124
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 34 (2010)
Issue (Month): 4 (April)
Pages: 577-584

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Handle: RePEc:eee:dyncon:v:34:y:2010:i:4:p:577-584

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Web page: http://www.elsevier.com/locate/jedc

Related research

Keywords: Stationarity Coupling from the past Perfect sampling;

References

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  1. John Stachurski, 2008. "Continuous State Dynamic Programming via Nonexpansive Approximation," Computational Economics, Society for Computational Economics, vol. 31(2), pages 141-160, March.
  2. Aiyagari, S Rao, 1994. "Uninsured Idiosyncratic Risk and Aggregate Saving," The Quarterly Journal of Economics, MIT Press, vol. 109(3), pages 659-84, August.
  3. Lee, Bong-Soo & Ingram, Beth Fisher, 1991. "Simulation estimation of time-series models," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 197-205, February.
  4. Manuel S. Santos & Adrian Peralta-Alva, 2005. "Accuracy of Simulations for Stochastic Dynamic Models," Econometrica, Econometric Society, vol. 73(6), pages 1939-1976, November.
  5. Nishimura, Kazuo & Stachurski, John, 2005. "Stability of stochastic optimal growth models: a new approach," Journal of Economic Theory, Elsevier, vol. 122(1), pages 100-118, May.
  6. Rust, John, 1987. "Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher," Econometrica, Econometric Society, vol. 55(5), pages 999-1033, September.
  7. Duffie, Darrell & Singleton, Kenneth J, 1993. "Simulated Moments Estimation of Markov Models of Asset Prices," Econometrica, Econometric Society, vol. 61(4), pages 929-52, July.
  8. Jes�s Fernández-Villaverde & Juan F. Rubio-Ramírez & Manuel S. Santos, 2006. "Convergence Properties of the Likelihood of Computed Dynamic Models," Econometrica, Econometric Society, vol. 74(1), pages 93-119, 01.
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Citations

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Cited by:
  1. Takashi Kamihigashi & John Stachurski, 2013. "Exact Sampling from the Stationary Distribution of Entry-Exit Models," Discussion Paper Series DP2013-03, Research Institute for Economics & Business Administration, Kobe University.
  2. Takashi Kamihigashi & John Stachurski, 2012. "Exact Draws from the Stationary Distribution of Entry-Exit Models," ANU Working Papers in Economics and Econometrics 2012-588, Australian National University, College of Business and Economics, School of Economics.
  3. Takashi Kamihigashi & John Stachurski, 2013. "Exact Sampling for Industry Dynamics and Other Regenerative Processes," Discussion Paper Series DP2013-37, Research Institute for Economics & Business Administration, Kobe University.
  4. Takashi Kamihigashi & John Stachurski, 2014. "Perfect Simulation for Models of Industry Dynamics," Working Papers 2014-144, Department of Research, Ipag Business School.

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