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Finite state Markov-chain approximations to univariate and vector autoregressions (1986)
by
George Tauchen
| Venue: | Economics Letters |
| Citations: | 487 - 0 self |
BibTeX
@ARTICLE{Tauchen86finitestate,
author = {George Tauchen},
title = {Finite state Markov-chain approximations to univariate and vector autoregressions},
journal = {Economics Letters},
year = {1986},
pages = {177--181}
}
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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. 1.
