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. Keywords: 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