Computing the Distributions of Economic Models via Simulation

DOI10.1111/J.1468-0262.2008.00839.XMaRDI QIDQ5456473zbMATH OpenOpenAlexFDO

Authors John Stachurski, Vance Martin

Publication date 8 April 2008

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1468-0262.2008.00839.x

zbMATH Keywords

ergodicitysimulationMarkov processesnumerical methods

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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(5)

• Perfect simulation of stationary equilibria
• Stationary distributions of continuous-time Markov chains: a review of theory and truncation-based approximations
• Generalized look-ahead methods for computing stationary densities
• Theory and inference for a Markov switching GARCH model
• Reproducible econometric simulations

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