Finite state markov-chain approximations to univariate and vector autoregressions
G. Tauchen.
Economics Letters 20 (2): 177 - 181 (1986)

The paper develops a procedure for finding a discrete-valued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas of economics, finance, and econometrics where approximate solutions to integral equations are required.

URL: http://www.sciencedirect.com/science/article/pii/0165176586901680
DOI: 10.1016/0165-1765(86)90168-0
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@article{Tauchen1986177,
  abstract = {The paper develops a procedure for finding a discrete-valued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas of economics, finance, and econometrics where approximate solutions to integral equations are required. },
  added-at = {2013-06-06T19:39:35.000+0200},
  author = {Tauchen, George},
  biburl = {https://www.bibsonomy.org/bibtex/2dfa6fb56efbc2301e3225b781633c6cc/jp},
  description = {ScienceDirect.com - Economics Letters - Finite state markov-chain approximations to univariate and vector autoregressions},
  doi = {10.1016/0165-1765(86)90168-0},
  interhash = {0619634620978e8524622d3c0f60185c},
  intrahash = {dfa6fb56efbc2301e3225b781633c6cc},
  issn = {0165-1765},
  journal = {Economics Letters },
  keywords = {approximation_methods dynamic_programming markov_chains numerics},
  number = 2,
  pages = {177 - 181},
  timestamp = {2013-06-06T19:39:35.000+0200},
  title = {Finite state markov-chain approximations to univariate and vector autoregressions },
  url = {http://www.sciencedirect.com/science/article/pii/0165176586901680},
  volume = 20,
  year = 1986
}

%0 Journal Article
%1 Tauchen1986177
%A Tauchen, George
%D 1986
%J Economics Letters
%K approximation_methods dynamic_programming markov_chains numerics
%N 2
%P 177 - 181
%R 10.1016/0165-1765(86)90168-0
%T Finite state markov-chain approximations to univariate and vector autoregressions
%U http://www.sciencedirect.com/science/article/pii/0165176586901680
%V 20
%X The paper develops a procedure for finding a discrete-valued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas of economics, finance, and econometrics where approximate solutions to integral equations are required.

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Finite state markov-chain approximations to univariate and vector autoregressions
G. Tauchen.
Economics Letters 20 (2): 177 - 181 (1986)

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BibSonomy

Finite state markov-chain approximations to univariate and vector autoregressionsG. Tauchen. Economics Letters 20 (2): 177 - 181 (1986)

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Cite this publication

Finite state markov-chain approximations to univariate and vector autoregressions
G. Tauchen.
Economics Letters 20 (2): 177 - 181 (1986)