Markov-chain approximations of vector autoregressions: Application of general multivariate-normal integration techniques

C-Tier
Journal: Economics Letters
Year: 2011
Volume: 110
Issue: 1
Pages: 4-6

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Discrete Markov chains are helpful for approximating vector autoregressive processes in computational work. We relax G. Tauchen (1986) [Finite state Markov-chain approximations to univariate and vector autoregressions. Economics Letters 20, 177-181] in practice using multivariate-normal integration techniques to allow for arbitrary positive-semidefinite covariance structures. Examples are provided for non-diagonal and singular non-diagonal error covariances.

Technical Details

RePEc Handle
repec:eee:ecolet:v:110:y:2011:i:1:p:4-6
Journal Field
General
Author Count
2
Added to Database
2026-01-25