A note on the accuracy of Markov-chain approximations to highly persistent AR(1) processes

DOI10.1016/j.econlet.2007.09.040zbMath1255.65026OpenAlexW2035207568MaRDI QIDQ1934811

Martin Flodén

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://swopec.hhs.se/hastef/papers/hastef0656.pdf

zbMATH Keywords

numerical methodsautoregressive processincome processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (2)

Discretization of highly persistent correlated AR(1) shocks ⋮ Efficient VAR discretization

Cites Work

• Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models

This page was built for publication: A note on the accuracy of Markov-chain approximations to highly persistent AR(1) processes