In equilibrium models of firm dynamics, the stationary equilibrium distribution of firms summarizes the predictions of the model for a given set of primitives. Focusing on Hopenhayn's seminal model of firm dynamics with entry and exit (Econometrica, 60:5, 1992, p.~1127--1150), we provide an...

In both estimation and calibration studies, the notion of ergodicity plays a fundamental role, permitting time series averages to be regarded as approximations to population means. As it turns out, many economic models routinely used for quantitative modeling do not satisfy the classical...

are the computation of the density of the capital stock in the neoclassical growth model and the computation of the wealth density in an incomplete market economy.

In recent years, a range of measures of "partial" or "degree of" stochastic dominance have been introduced. These measures attempt to determine the extent to which one distribution is dominated by another. In order to systematically assess these proposed measures and their relationship to...

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...

In estimation and calibration studies the convergence of time series sample averages plays a central role. At the same time, a significant number of economic models do not satisfy the classical ergodicity conditions. Motivated by existing work on asymptotics of stochastic economic models, we...

This paper provides conditions for bounding tail probabilities in stochastic economic models in terms of their transition laws and shock distributions. Particular attention is given to conditions under which the tails of stationary equilibria have exponential decay. By way of illustration, the...

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...

In estimation and calibration studies the concept of ergodicity plays a fundamental role. At the same time, a significant number of economic models do not satisfy the classical ergodicity conditions. Motivated by existing work on economic dynamics, we develop a new set of results on ergodicity...

In equilibrium models of firm dynamics, the stationary equilibrium distribution of firms summarizes the predictions of the model for a given set of primitives. Focusing on Hopenhayn's seminal model of firm dynamics with entry and exit (Econometrica, 60:5, 1992, p. 1127–1150), we provide an...