Discretization of highly persistent correlated AR(1) shocks

DOI10.1016/J.JEDC.2010.02.006zbMATH Open1230.91164OpenAlexW2163042736MaRDI QIDQ975894FDOQ975894

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

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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)

Cites Work

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

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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