Perfect simulation for models of industry dynamics |
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| Affiliation: | 1. Research Institute for Economics and Business Administration, Kobe University, Japan;2. IPAG Business School, Paris, France;3. Research School of Economics, Australian National University, Australia;1. Department of Economics and Management, University of Pisa, Italy;2. CNRS, CMAP - Ecole Polytechnique, France |
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| 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 exploit the regenerative property of the process in order to achieve rapid coupling. |
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| Keywords: | Regeneration Simulation Coupling from the past Perfect sampling |
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