Perfect simulation of stationary equilibria

Kazuo Nishimura, John Stachurski*

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    1 Citation (Scopus)


    Using a variation of the coupling from the past technique, this paper develops algorithms which generate independent observations from the stationary distributions of various dynamic economic models. These variates can be used for calibration, calculation of steady state phenomena, and simulation-based estimation. As an application, we demonstrate how to generate exact samples from the stationary distribution of an incomplete markets model routinely calibrated by macroeconomists. Our implementation generates 100,000 independent draws from the stationary distribution in less than 3s.

    Original languageEnglish
    Pages (from-to)577-584
    Number of pages8
    JournalJournal of Economic Dynamics and Control
    Issue number4
    Publication statusPublished - Apr 2010


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