Perfect Simulation for Models of Industry Dynamics

Takashi Kamihigashi and John Stachurski
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John Stachurski: Research School of Economics, Australian National University, Australia

No DP2014-37, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

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 exploits the regenerative property of the process in order to achieve rapid coupling. Keywords: Regeneration, simulation, coupling from the past, perfect sampling.

Pages: 18 pages
Date: 2014-11
New Economics Papers: this item is included in nep-cmp and nep-ind
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https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2014-37.pdf First version, 2014 (application/pdf)

Related works:
Journal Article: Perfect simulation for models of industry dynamics (2015)
Working Paper: Perfect Simulation for Models of Industry Dynamics (2014)
Working Paper: Perfect Simulation for Models of Industry Dynamics (2014)
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