Perfect Simulation for Models of Industry Dynamics
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.
Regeneration, Simulation, Coupling from the past, Perfect sampling
Research Institute for Economics and Business Administration,
Rokkodai-cho, Nada-ku, Kobe
Research School of Economics, Australian National University