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Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Working Paper No. 2013-5
Verlag: 
Federal Reserve Bank of Atlanta, Atlanta, GA
Zusammenfassung: 
This paper proposes a moment-matching method for approximating vector autoregressions by finite-state Markov chains. The Markov chain is constructed by targeting the conditional moments of the underlying continuous process. The proposed method is more robust to the number of discrete values and tends to outperform the existing methods for approximating multivariate processes over a wide range of the parameter space, especially for highly persistent vector autoregressions with roots near the unit circle.
Schlagwörter: 
Markov chain
vector autoregressive processes
numerical methods
moment matching
non-linear stochastic dynamic models state space discretization
stochastic growth model
fiscal policy
JEL: 
C15
C32
C60
E13
E32
E62
Dokumentart: 
Working Paper

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