Ergodic Invariant Distributions for Non-optimal Dynamic Economics

Manuel Santos and Adrian Peralta-Alva ()

No 2012-5, Working Papers from University of Miami, Department of Economics

Abstract: 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.

Keywords: Markov Equilibrium; Invariant Distribution; Computed Solution; Simulated Moments (search for similar items in EconPapers)
JEL-codes: C63 E60 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2012-07-08
New Economics Papers: this item is included in nep-dge
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Citations: View citations in EconPapers (3)

Forthcoming: Under Review

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Persistent link: https://EconPapers.repec.org/RePEc:mia:wpaper:2012-5

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