A note on the accuracy of Markov-chain approximations to highly persistent AR(1) processes

被引：30

作者：

Floden, Martin ^{[1
]}

机构：

[1] Stockholm Sch Econ, Dept Econ, SE-11383 Stockholm, Sweden

来源：

ECONOMICS LETTERS | 2008年 / 99卷 / 03期

关键词：

numerical methods; income processes; autoregressive process;

D O I：

10.1016/j.econlet.2007.09.040

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This note examines the accuracy of methods that approximate AR(1) processes with discrete Markov chains. Tauchen and Hussey's [Tauchen, G., Hussey, R., 1991. Quadrature-based methods for obtaining approximate solutions to nonlinear asset pricing models. Econometrica 59, 371-396] method has problems under high autocorrelation. I suggest an alternative weighting function, and note that Tauchen's [Tauchen, G., 1986. Finite state Markov-chain approximations to univariate and vector autoregressions. Economics Letters 20, 177-181] method is relatively robust. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：516 / 520

页数：5

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