Finite state markov-chain approximations to univariate and vector autoregressions
Publication
, Journal Article
Tauchen, G
Published in: Economics Letters
January 1, 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. © 1986.
Duke Scholars
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Published In
Economics Letters
DOI
ISSN
0165-1765
Publication Date
January 1, 1986
Volume
20
Issue
2
Start / End Page
177 / 181
Related Subject Headings
- Economics
- 38 Economics
- 14 Economics
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Tauchen, G. (1986). Finite state markov-chain approximations to univariate and vector autoregressions. Economics Letters, 20(2), 177–181. https://doi.org/10.1016/0165-1765(86)90168-0
Tauchen, G. “Finite state markov-chain approximations to univariate and vector autoregressions.” Economics Letters 20, no. 2 (January 1, 1986): 177–81. https://doi.org/10.1016/0165-1765(86)90168-0.
Tauchen G. Finite state markov-chain approximations to univariate and vector autoregressions. Economics Letters. 1986 Jan 1;20(2):177–81.
Tauchen, G. “Finite state markov-chain approximations to univariate and vector autoregressions.” Economics Letters, vol. 20, no. 2, Jan. 1986, pp. 177–81. Scopus, doi:10.1016/0165-1765(86)90168-0.
Tauchen G. Finite state markov-chain approximations to univariate and vector autoregressions. Economics Letters. 1986 Jan 1;20(2):177–181.
Published In
Economics Letters
DOI
ISSN
0165-1765
Publication Date
January 1, 1986
Volume
20
Issue
2
Start / End Page
177 / 181
Related Subject Headings
- Economics
- 38 Economics
- 14 Economics