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Perfect Simulation for Models of Industry Dynamics

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  • Takashi Kamihigashi
  • John Stachurski

Abstract

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 exploits the regenerative property of the process in order to achieve rapid coupling.

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File URL: http://www.ipag.fr/wp-content/uploads/recherche/WP/IPAG_WP_2014_144.pdf
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Bibliographic Info

Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-144.

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Length: 15 pages
Date of creation: 25 Feb 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-144

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Keywords: Regeneration; simulation; coupling from the past; perfect sampling;

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  1. Nishimura, Kazuo & Stachurski, John, 2010. "Perfect simulation of stationary equilibria," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 577-584, April.
  2. Marc J. Melitz, 2003. "The Impact of Trade on Intra-Industry Reallocations and Aggregate Industry Productivity," Econometrica, Econometric Society, Econometric Society, vol. 71(6), pages 1695-1725, November.
  3. Thomas F. Cooley & Vincenzo Quadrini, 2001. "Financial Markets and Firm Dynamics," American Economic Review, American Economic Association, vol. 91(5), pages 1286-1310, December.
  4. Hopenhayn, Hugo & Rogerson, Richard, 1993. "Job Turnover and Policy Evaluation: A General Equilibrium Analysis," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 101(5), pages 915-38, October.
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