Markov-chain approximations of vector autoregressions: application of general multivariate-normal integration techniques
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- Terry, Stephen J. & Knotek II, Edward S., 2011. "Markov-chain approximations of vector autoregressions: Application of general multivariate-normal integration techniques," Economics Letters, Elsevier, vol. 110(1), pages 4-6, January.
References listed on IDEAS
- Tauchen, George & Hussey, Robert, 1991. "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models," Econometrica, Econometric Society, vol. 59(2), pages 371-396, March.
- Tauchen, George, 1986. "Finite state markov-chain approximations to univariate and vector autoregressions," Economics Letters, Elsevier, vol. 20(2), pages 177-181.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2008-11-04 (Econometrics)
- NEP-ETS-2008-11-04 (Econometric Time Series)
- NEP-ORE-2008-11-04 (Operations Research)
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