Efficient VAR discretization

DOI10.1016/j.econlet.2021.109872zbMath1467.62144OpenAlexW3035857177MaRDI QIDQ2036961

Grey Gordon

Publication date: 30 June 2021

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

Full work available at URL: https://www.richmondfed.org/-/media/richmondfedorg/publications/research/working_papers/2020/wp20-06.pdf

zbMATH Keywords

discretizationsparse gridsvector autoregressive (VAR) models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical approximation of high-dimensional functions; sparse grids (65D40)

Uses Software

• PATSYM
• HRMSYM

Cites Work

• Unnamed Item
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• Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
• Merging simulation and projection approaches to solve high-dimensional problems with an application to a new Keynesian model
• Discretizing nonlinear, non-Gaussian Markov processes with exact conditional moments
• On Information and Sufficiency

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