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  • Search: subject:"Discretization of Multivariate Autoregressive Processes"
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Discretization of Multivariate Autoregressive Processes 1 Finite State Markov-Chain Approximation 1 Numerical Methods 1 Transition Matrix 1 VAR 1 Value Function Iteration 1 the Rouwenhorst method 1
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Free 1
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Book / Working Paper 1
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Author
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Galindev, Ragchaasuren 1 Lkhagvasuren, Damba 1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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Discretization of highly persistent correlated AR(1) shocks
Lkhagvasuren, Damba; Galindev, Ragchaasuren - Volkswirtschaftliche Fakultät, … - 2008
The finite state Markov-Chain approximation method developed by Tauchen (1986) and Tauchen and Hussey (1991) is widely used in economics, finance and econometrics in solving for functional equations where state variables follow an autoregressive process. For highly persistent processes, the...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10008516581
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