Discretization of highly persistent correlated AR(1) shocks
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Publication:975894
DOI10.1016/j.jedc.2010.02.006zbMath1230.91164OpenAlexW2163042736MaRDI QIDQ975894
Ragchaasuren Galindev, Damba Lkhagvasuren
Publication date: 11 June 2010
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/22523/1/MPRA_paper_22523.pdf
numerical methodstransition matrixvalue function iterationdiscretization of multivariate autoregressive processesfinite state Markov-chain approximation
Applications of statistics to economics (62P20) Probabilistic models, generic numerical methods in probability and statistics (65C20) Economic time series analysis (91B84)
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