Ergodic Invariant Distributions for Non-optimal Dynamic Economics
AbstractIn this paper we are concerned with the simulation of non-optimal dynamic economies. The equilibrium laws of motion of these economies cannot be characterized by the methods of dynamic programming and may not be described by continuous policy functions. We prove existence of an invariant distribution for the equilibrium law of motion, and establish some convergence and accuracy properties for the simulated moments. We obtain these results without resorting to artificial randomizations of the equilibrium correspondence or discretizations of the state space.
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Bibliographic InfoPaper provided by University of Miami, Department of Economics in its series Working Papers with number 2012-5.
Length: 20 pages
Date of creation: 08 Jul 2012
Date of revision:
Publication status: Forthcoming: Under Review
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Markov Equilibrium; Invariant Distribution; Computed Solution; Simulated Moments;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
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- Karl Schmedders, Felix Kubler, 2001. "Asset Pricing in Models with incomplete markets and default," Computing in Economics and Finance 2001 58, Society for Computational Economics.
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