Gospodinov, Nikolay and Lkhagvasuren, Damba (2011): A new method for approximating vector autoregressive processes by finite-state Markov chains.
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This paper proposes a new method for approximating vector autoregressions by a finite-state Markov chain. The method is more robust to the number of discrete values and tends to outperform the existing methods over a wide range of the parameter space, especially for highly persistent vector autoregressions with roots near the unit circle.
|Item Type:||MPRA Paper|
|Original Title:||A new method for approximating vector autoregressive processes by finite-state Markov chains|
|Keywords:||Markov Chain, Vector Autoregressive Processes, Functional Equation, Numerical Methods, Moment Matching, Numerical Integration|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General
C - Mathematical and Quantitative Methods > C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C60 - General
|Depositing User:||Damba Lkhagvasuren|
|Date Deposited:||03. Oct 2011 01:04|
|Last Modified:||12. Feb 2013 07:44|
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