Assessing Markov chain approximations: a minimal econometric approach

DOI10.1016/J.JEDC.2005.04.005zbMATH Open1200.91255OpenAlexW2108487053MaRDI QIDQ956545FDOQ956545

Pedro Silos

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2005.04.005

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zbMATH Keywords

Bayesian model comparisonMarkov chain approximations

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Cites Work

• Solving linear rational expectations models
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Title not available (Why is that?)
• Comparing dynamic equilibrium models to data: a Bayesian approach
• The Solution of Linear Difference Models under Rational Expectations
• Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
• Title not available (Why is that?)

Cited In (3)

• Markov chain order estimation based on the chi‐square divergence
• Estimación de modelos de equilibrio general en economías dinámicas por métodos de Monte Carlo y Cadenas de Markov
• Housing, portfolio choice and the macroeconomy

Uses Software

• Uhlig Toolkit
• Gensys

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