Discretization of highly persistent correlated AR(1) shocks

DOI10.1016/J.JEDC.2010.02.006MaRDI QIDQ975894zbMATH OpenOpenAlexFDO

Authors Ragchaasuren Galindev, Damba Lkhagvasuren

Publication date 11 June 2010

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

Full work available at URL https://mpra.ub.uni-muenchen.de/22523/1/MPRA_paper_22523.pdf

zbMATH Keywords

transition matrixnumerical methodsvalue function iterationdiscretization of multivariate autoregressive processesfinite state Markov-chain approximation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cites work

• A note on the accuracy of Markov-chain approximations to highly persistent AR(1) processes
• Job Creation and Job Destruction in the Theory of Unemployment
• Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models

Cited in

(3)

• A note on the accuracy of Markov-chain approximations to highly persistent AR(1) processes
• Efficient VAR discretization
• Dynamic Bayesian ratemaking: a Markov chain approximation approach

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