IDEAS home Printed from https://ideas.repec.org/a/eee/dyncon/v34y2010i4p577-584.html
   My bibliography  Save this article

Perfect simulation of stationary equilibria

Author

Listed:
  • 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.

Suggested Citation

  • Nishimura, Kazuo & Stachurski, John, 2010. "Perfect simulation of stationary equilibria," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 577-584, April.
    • Handle: RePEc:eee:dyncon:v:34:y:2010:i:4:p:577-584
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1889(09)00198-5
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. Duffie, Darrell & Singleton, Kenneth J, 1993. "Simulated Moments Estimation of Markov Models of Asset Prices," Econometrica, Econometric Society, vol. 61(4), pages 929-952, July.
    4. John Stachurski, 2008. "Continuous State Dynamic Programming via Nonexpansive Approximation," Computational Economics, Springer;Society for Computational Economics, vol. 31(2), pages 141-160, March.
    5. Jesús 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, January.
    6. S. Rao Aiyagari, 1994. "Uninsured Idiosyncratic Risk and Aggregate Saving," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 109(3), pages 659-684.
    7. Manuel S. Santos & Adrian Peralta-Alva, 2005. "Accuracy of Simulations for Stochastic Dynamic Models," Econometrica, Econometric Society, vol. 73(6), pages 1939-1976, November.
    8. Manuel S. Santos & Adrian Peralta-Alva, 2005. "Accuracy of Simulations for Stochastic Dynamic Models," Econometrica, Econometric Society, vol. 73(6), pages 1939-1976, November.
    9. Kazuo Nishimura & John Stachurski, 2012. "Stability of Stochastic Optimal Growth Models: A New Approach," Springer Books, in: John Stachurski & Alain Venditti & Makoto Yano (ed.), Nonlinear Dynamics in Equilibrium Models, edition 127, chapter 0, pages 289-307, Springer.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. Kamihigashi, Takashi & Stachurski, John, 2015. "Perfect simulation for models of industry dynamics," Journal of Mathematical Economics, Elsevier, vol. 56(C), pages 9-14.
    3. 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.
    4. Takashi Kamihigashi & John Stachurski, 2012. "Exact Draws from the Stationary Distribution of Entry-Exit Models," Discussion Paper Series DP2012-26, Research Institute for Economics & Business Administration, Kobe University.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Robert Kirkby Author-Email: robertkirkby@gmail.com|, 2017. "Convergence of Discretized Value Function Iteration," Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 117-153, January.
    2. Manuel S. Santos, 2007. "Consistency Properties of a Simulation-Base Estimator for Dynamic Processes," Working Papers 0613, University of Miami, Department of Economics.
    3. Adrian Peralta-Alva & Manuel S. Santos, 2012. "Analysis of numerical errors," Working Papers 2012-062, Federal Reserve Bank of St. Louis.
    4. RUGE-MURCIA, Francisco J., 2010. "Estimating Nonlinear DSGE Models by the Simulated Method of Moments," Cahiers de recherche 2010-10, Universite de Montreal, Departement de sciences economiques.
    5. Takashi Kamihigashiw & John Stachurski, 2014. "Seeking Ergodicity in Dynamic Economies," Working Papers 2014-402, Department of Research, Ipag Business School.
    6. Cuong Van & John Stachurski, 2007. "Parametric continuity of stationary distributions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 33(2), pages 333-348, November.
    7. Santos, Manuel S., 2004. "Simulation-based estimation of dynamic models with continuous equilibrium solutions," Journal of Mathematical Economics, Elsevier, vol. 40(3-4), pages 465-491, June.
    8. Jesús 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, January.
    9. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1059-1087.
    10. Kamihigashi, Takashi & Stachurski, John, 2016. "Seeking ergodicity in dynamic economies," Journal of Economic Theory, Elsevier, vol. 163(C), pages 900-924.
    11. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
    12. Ruge-Murcia, Francisco, 2012. "Estimating nonlinear DSGE models by the simulated method of moments: With an application to business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 36(6), pages 914-938.
    13. Santos, Manuel S., 2003. "Simulation-based estimation of dynamic models with continuous equilibrium solutions," UC3M Working papers. Economics we034716, Universidad Carlos III de Madrid. Departamento de Economía.
    14. Takashi Kamihigashi & John Stachurski, 2011. "Existence, Stability and Computation of Stationary Distributions: An Extension of the Hopenhayn-Prescott Theorem," Discussion Paper Series DP2011-32, Research Institute for Economics & Business Administration, Kobe University.
    15. John Stachurski, 2009. "Economic Dynamics: Theory and Computation," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262012774, April.
    16. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2008. "How Structural Are Structural Parameters?," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 83-137, National Bureau of Economic Research, Inc.
    17. Datta, Manjira & Mirman, Leonard J. & Morand, Olivier F. & Reffett, Kevin L., 2005. "Markovian equilibrium in infinite horizon economies with incomplete markets and public policy," Journal of Mathematical Economics, Elsevier, vol. 41(4-5), pages 505-544, August.
    18. Kristensen, Dennis & Salanié, Bernard, 2017. "Higher-order properties of approximate estimators," Journal of Econometrics, Elsevier, vol. 198(2), pages 189-208.
    19. John Stachurski, 2004. "Asymptotic Statistical Properties Of The Neoclassical Optimal Growth Model," Department of Economics - Working Papers Series 898, The University of Melbourne.
    20. Cao, Dan, 2020. "Recursive equilibrium in Krusell and Smith (1998)," Journal of Economic Theory, Elsevier, vol. 186(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:34:y:2010:i:4:p:577-584. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jedc .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.