Ergodic Invariant Distributions for Non-optimal Dynamic Economics
In 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.
|Date of creation:||08 Jul 2012|
|Date of revision:|
|Publication status:||Forthcoming: Under Review|
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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.
- Manuel S. Santos & Adrian Peralta-Alva, 2003.
"Accuracy Of Simulations For Stochastic Dynamic Models,"
Economics Working Papers
we034615, Universidad Carlos III, Departamento de Economía.
- Manuel S. Santos & Adrian Peralta-Alva, 2005. "Accuracy of Simulations for Stochastic Dynamic Models," Econometrica, Econometric Society, vol. 73(6), pages 1939-1976, November.
- Manuel S. Santos & Adrian Peralta-Alva, 2003. "Accuracy of Simulations for Stochastic Dynamic Models," Levine's Bibliography 666156000000000264, UCLA Department of Economics.
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