Computing the Distributions of Economic Models via Simulation

DOI10.1111/J.1468-0262.2008.00839.XzbMATH Open1133.91505OpenAlexW2106354076MaRDI QIDQ5456473FDOQ5456473

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

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zbMATH Keywords

ergodicitysimulationMarkov processesnumerical methods

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Cited In (5)

• Perfect simulation of stationary equilibria
• Generalized look-ahead methods for computing stationary densities
• Theory and inference for a Markov switching GARCH model
• Reproducible econometric simulations
• Stationary Distributions of Continuous-Time Markov Chains: A Review of Theory and Truncation-Based Approximations

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