A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains
Nikolay Gospodinov and Damba Lkhagvasuren
| Year of publication: |
2014
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|---|---|
| Authors: | Gospodinov, Nikolaj ; Lkhagvasuren, Damba |
| Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 29.2014, 5, p. 843-859
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| Subject: | Markov chain | vector autoregressive processes | numerical methods | moment matching | non-linear stochastic dynamic models state space discretization | stochastic growth model | fiscal policy | Markov-Kette | VAR-Modell | VAR model | Stochastisches Wachstumsmodell | Stochastic growth model | Zeitreihenanalyse | Time series analysis | Finanzpolitik | Fiscal policy | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010414842