Assessing Markov chain approximations: a minimal econometric approach

DOI10.1016/j.jedc.2005.04.005zbMath1200.91255OpenAlexW2108487053MaRDI QIDQ956545

Pedro Silos

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2005.04.005

zbMATH Keywords

Bayesian model comparisonMarkov chain approximations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Markov processes: estimation; hidden Markov models (62M05) Statistical methods; economic indices and measures (91B82)

Related Items (2)

Markov chain order estimation based on the chi‐square divergence ⋮ Housing, portfolio choice and the macroeconomy

Uses Software

• Uhlig Toolkit
• Gensys

Cites Work

• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Comparing dynamic equilibrium models to data: a Bayesian approach
• Solving linear rational expectations models
• The Solution of Linear Difference Models under Rational Expectations
• Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
• Unnamed Item
• Unnamed Item

This page was built for publication: Assessing Markov chain approximations: a minimal econometric approach