Perfect simulation of stationary equilibria

DOI10.1016/J.JEDC.2009.10.010zbMATH Open1202.91188OpenAlexW2134877591MaRDI QIDQ964569FDOQ964569

Authors Kazuo Nishimura, John Stachurski 

Publication date 22 April 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1885/32420

zbMATH Keywords

stationaritycoupling from the pastperfect sampling

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic dynamics (91B55)

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Cites work

• scientific article; zbMATH DE number 3975284 (Why is no real title available?)
• Accuracy of Simulations for Stochastic Dynamic Models
• Continuous state dynamic programming via nonexpansive approximation
• Convergence Properties of the Likelihood of Computed Dynamic Models
• Econometric specification of stochastic discount factor models
• Exact Sampling from a Continuous State Space
• Exact sampling with coupled Markov chains and applications to statistical mechanics
• Markov chains and stochastic stability
• On the Behaviour of Commodity Prices
• Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher
• Perfect sampling for doeblin chains
• Perfect sampling of ergodic Harris chains
• Perfect simulation and backward coupling^∗
• Simulated Moments Estimation of Markov Models of Asset Prices
• Simulation estimation of time-series models
• Stability of stochastic optimal growth models: a new approach

Cited in

(5)

• A tractable framework for analyzing a class of nonstationary Markov models
• Computing the Distributions of Economic Models via Simulation
• An algorithm derived from the Metropolis algorithm
• Perfect simulation for models of industry dynamics
• Symbolic stationarization of dynamic equilibrium models

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