Terry, Stephen J.; Knotek II, Edward S. - In: Economics Letters 110 (2011) 1, pp. 4-6
Discrete Markov chains are helpful for approximating vector autoregressive processes in computational work. We relax G. Tauchen (1986) [Finite state Markov-chain approximations to univariate and vector autoregressions. Economics Letters 20, 177-181] in practice using multivariate-normal...
