Markov-Perfect Industry Dynamics: A Framework for Empirical Work
构建了一个允许企业进入、退出和面临特定不确定性的产业动态模型，分析企业探索利润机会的最优策略，并聚合为理性预期的马尔可夫完美均衡，证明其遍历性，用数值例子展示产业结构的随机过程特征。
This paper provides a model of firm and industry dynamics that allows for entry, exit and firm-specific uncertainty generating variability in the fortunes of firms. It focuses on the impact of uncertainty arising from investment in research and exploration-type processes. It analyses the behaviour of individual firms exploring profit opportunities in an evolving market place and derives optimal policies, including exit, in this environment. Then it adds an entry process and aggregates the optimal behaviour of all firms, including potential entrants, into a rational expectations, Markov-perfect industry equilibrium, and proves ergodicity of the equilibrium process. Numerical examples are used to illustrate the more detailed characteristics of the stochastic process generating industry structures that result from this equilibrium.