Perfect Simulation for Models of Industry Dynamics
AbstractIn 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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Bibliographic InfoPaper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-144.
Length: 15 pages
Date of creation: 25 Feb 2014
Date of revision:
Regeneration; simulation; coupling from the past; perfect sampling;
Other versions of this item:
- Takashi Kamihigashi & John Stachurski, 2014. "Perfect Simulation for Models of Industry Dynamics," Discussion Paper Series DP2014-09, Research Institute for Economics & Business Administration, Kobe University.
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