Efficient VAR Discretization
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DOI: 10.21144/wp20-06
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- Grey Gordon & Pablo Guerron-Quintana, 2019. "On Regional Borrowing, Default, and Migration," Working Paper 19-4, Federal Reserve Bank of Richmond.
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More about this item
Keywords
VAR; Autoregressive; Discretization; New Keynesian;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2021-01-25 (Econometric Time Series)
- NEP-MAC-2021-01-25 (Macroeconomics)
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