Discretization of highly persistent correlated AR(1) shocks

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

zbMATH Keywords

numerical methodstransition matrixvalue function iterationdiscretization of multivariate autoregressive processesfinite state Markov-chain approximation

Mathematics Subject Classification ID

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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Cites Work

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