A note on the accuracy of Markov-chain approximations to highly persistent AR(1) processes
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Floden, Martin, 2007. "A Note on the Accuracy of Markov-Chain Approximations to Highly Persistent AR(1)-Processes," SSE/EFI Working Paper Series in Economics and Finance 656, Stockholm School of Economics.
References listed on IDEAS
- Tauchen, George, 1986. "Finite state markov-chain approximations to univariate and vector autoregressions," Economics Letters, Elsevier, vol. 20(2), pages 177-181.
- Hubbard, R Glenn & Skinner, Jonathan & Zeldes, Stephen P, 1995.
"Precautionary Saving and Social Insurance,"
Journal of Political Economy, University of Chicago Press, vol. 103(2), pages 360-399, April.
- Glenn R. Hubbard & Jonathan Skinner & Stephen P. Zeldes, "undated". "Precautionary Saving and Social Insurance," Rodney L. White Center for Financial Research Working Papers 3-95, Wharton School Rodney L. White Center for Financial Research.
- R. Glenn Hubbard & Jonathan Skinner & Stephen P. Zeldes, 1994. "Precautionary Saving and Social Insurance," NBER Working Papers 4884, National Bureau of Economic Research, Inc.
- Glenn R. Hubbard & Jonathan Skinner & Stephen P. Zeldes, "undated". "Precautionary Saving and Social Insurance," Rodney L. White Center for Financial Research Working Papers 03-95, Wharton School Rodney L. White Center for Financial Research.
- Storesletten, Kjetil & Telmer, Christopher I. & Yaron, Amir, 2004.
"Consumption and risk sharing over the life cycle,"
Journal of Monetary Economics, Elsevier, vol. 51(3), pages 609-633, April.
- Kjetil Storesletten & Chris Telmer & Amir Yaron, 1997. "Consumption and risk sharing over the life cycle," GSIA Working Papers 228, Carnegie Mellon University, Tepper School of Business.
- Kjetil Storesletten & Chris I. Telmer & Amir Yaron, 2000. "Consumption and Risk Sharing Over the Life Cycle," NBER Working Papers 7995, National Bureau of Economic Research, Inc.
- Storesletten, Kjetil & Telmer, Chris & Yaron, Amir, 2002. "Consumption and Risk Sharing Over the Life Cycle," Seminar Papers 702, Stockholm University, Institute for International Economic Studies.
- S. Rao Aiyagari, 1994.
"Uninsured Idiosyncratic Risk and Aggregate Saving,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 109(3), pages 659-684.
- S. Rao Aiyagari, 1993. "Uninsured idiosyncratic risk and aggregate saving," Working Papers 502, Federal Reserve Bank of Minneapolis.
- Marimon, Ramon & Scott, Andrew (ed.), 1999. "Computational Methods for the Study of Dynamic Economies," OUP Catalogue, Oxford University Press, number 9780198294979.
- 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.
- Unknown, 1986. "Letters," Choices: The Magazine of Food, Farm, and Resource Issues, Agricultural and Applied Economics Association, vol. 1(4), pages 1-9.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Jung, Juergen & Tran, Chung & Chambers, Matthew, 2017.
"Aging and health financing in the U.S.: A general equilibrium analysis,"
European Economic Review, Elsevier, vol. 100(C), pages 428-462.
- Juergen Jung & Chung Tran & Matthew Chambers, 2016. "Aging and Health Financing in the U.S. A General Equilibrium Analysis," Working Papers 2016-04, Towson University, Department of Economics, revised Apr 2017.
- Juergen Jung & Chung Tran & Matthew Chambers, 2016. "Aging and Health Financing in the US:A General Equilibrium Analysis," ANU Working Papers in Economics and Econometrics 2016-641, Australian National University, College of Business and Economics, School of Economics.
- Silos, Pedro, 2006. "Assessing Markov chain approximations: A minimal econometric approach," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 1063-1079, June.
- Jung, Juergen & Tran, Chung, 2022.
"Social health insurance: A quantitative exploration,"
Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
- Juergen Jung & Chung Tran, 2015. "Social Health Insurance: A Quantitative Exploration," ANU Working Papers in Economics and Econometrics 2015-629, Australian National University, College of Business and Economics, School of Economics.
- Juergen Jung & Chung Tran, 2019. "Social Health Insurance: A Quantitative Exploration," 2019 Meeting Papers 690, Society for Economic Dynamics.
- Juergen Jung & Chung Tran, 2016. "Social Health Insurance: A Quantitative Exploration," Working Papers 2016-02, Towson University, Department of Economics, revised Apr 2022.
- Hsu, Minchung & Yang, C.C., 2013. "Optimal linear and two-bracket income taxes with idiosyncratic earnings risk," Journal of Public Economics, Elsevier, vol. 105(C), pages 58-71.
- Floden, Martin, 2001.
"The effectiveness of government debt and transfers as insurance,"
Journal of Monetary Economics, Elsevier, vol. 48(1), pages 81-108, August.
- Floden, Martin, 2000. "The Effectiveness of Government Debt and Transfers as Insurance," SSE/EFI Working Paper Series in Economics and Finance 377, Stockholm School of Economics.
- Martin Floden, 2000. "The Effectiveness of Government Debt and Transfers as Insurance," Econometric Society World Congress 2000 Contributed Papers 1013, Econometric Society.
- Minchung Hsu & Tomoaki Yamada, 2019.
"Population Aging, Health Care, and Fiscal Policy Reform: The Challenges for Japan,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 121(2), pages 547-577, April.
- HSU Minchung & YAMADA Tomoaki, 2017. "Population Aging, Health Care, and Fiscal Policy Reform: The challenges for Japan," Discussion papers 17038, Research Institute of Economy, Trade and Industry (RIETI).
- Athreya, Kartik B., 2008. "Default, insurance, and debt over the life-cycle," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 752-774, May.
- Matteo Iacoviello, 2008.
"Household Debt and Income Inequality, 1963–2003,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 929-965, August.
- Matteo Iacoviello, 2008. "Household Debt and Income Inequality, 1963-2003," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 929-965, August.
- Matteo Iacoviello, 2005. "Household Debt and Income Inequality, 1963-2003," Boston College Working Papers in Economics 629, Boston College Department of Economics, revised 18 Oct 2007.
- Matteo Iacoviello, 2006. "Household Debt and Income Inequality, 1963-2003," 2006 Meeting Papers 585, Society for Economic Dynamics.
- Tanaka, Ken'ichiro & Toda, Alexis Akira, 2015.
"Discretizing Distributions with Exact Moments: Error Estimate and Convergence Analysis,"
University of California at San Diego, Economics Working Paper Series
qt7g23r5kh, Department of Economics, UC San Diego.
- Tanaka, Ken'ichiro & Toda, Alexis Akira, 2015. "Discretizing Distributions with Exact Moments: Error Estimate and Convergence Analysis," University of California at San Diego, Economics Working Paper Series qt2tc0m67t, Department of Economics, UC San Diego.
- Takefumi Yamazaki, 2018. "Accuracy and speed of the solution methods for sovereign default models: The stable performance of the Tauchen method and cubic spline interpolation," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 14(4), pages 641-662, July.
- Karen Kopecky & Richard Suen, 2010.
"Finite State Markov-chain Approximations to Highly Persistent Processes,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(3), pages 701-714, July.
- Kopecky, Karen A. & Suen, Richard M. H., 2009. "Finite State Markov-Chain Approximations to Highly Persistent Processes," MPRA Paper 15122, University Library of Munich, Germany.
- Karen A. Kopecky & Richard M. H. Suen, 2009. "Finite State Markov-Chain Approximations to Highly Persistent Processes," Working Papers 200904, University of California at Riverside, Department of Economics, revised May 2009.
- Kopecky, Karen A. & Suen, Richard M. H., 2009. "Finite State Markov-Chain Approximations to Highly Persistent Processes," MPRA Paper 17201, University Library of Munich, Germany.
- Makoto Nakajima, 2012.
"Rising indebtedness and temptation: A welfare analysis,"
Quantitative Economics, Econometric Society, vol. 3(2), pages 257-288, July.
- Makoto Nakajima, 2011. "Rising indebtedness and temptation: a welfare analysis," Working Papers 11-39, Federal Reserve Bank of Philadelphia.
- Hull, Isaiah, 2015.
"Approximate dynamic programming with post-decision states as a solution method for dynamic economic models,"
Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 57-70.
- Hull, Isaiah, 2013. "Approximate dynamic programming with postdecision states as a solution method for dynamic economic models," Working Paper Series 276, Sveriges Riksbank (Central Bank of Sweden).
- Martin Floden & Jesper Lindé, 2001.
"Idiosyncratic Risk in the United States and Sweden: Is There a Role for Government Insurance?,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(2), pages 406-437, July.
- Flodén, Martin & Linde, Jesper, 1998. "Idiosyncratic Risk in the U.S. and Sweden: Is there a Role for Government Insurance?," Seminar Papers 654, Stockholm University, Institute for International Economic Studies.
- Floden, M. & Linde, J., 1998. "Idiosyncratic Risk in the U.S. and Sweden: Is there a Role for Government Insurance?," Papers 654, Stockholm - International Economic Studies.
- Gian Luca Clementi & Berardino Palazzo, 2019.
"Investment and the Cross‐Section of Equity Returns,"
Journal of Finance, American Finance Association, vol. 74(1), pages 281-321, February.
- Berardino Palazzo & Gian Luca Clementi, 2012. "Investment and the Cross-Section of Equity Returns," 2012 Meeting Papers 543, Society for Economic Dynamics.
- Gian Luca Clementi & Berardino Palazzo, 2015. "Investment and The Cross-Section of Equity Returns," NBER Working Papers 21064, National Bureau of Economic Research, Inc.
- Felix Wellschmied, 2021.
"The welfare effects of asset mean‐testing income support,"
Quantitative Economics, Econometric Society, vol. 12(1), pages 217-249, January.
- Wellschmied, Felix, 2015. "The Welfare Effects of Asset Means-Testing Income Support," IZA Discussion Papers 8838, Institute of Labor Economics (IZA).
- Hamann-Salcedo, Franz Alonso & Mejía, Luis Fernando, 2012.
"Formalizando la informalidad empresarial en Colombia,"
Chapters, in: Arango-Thomas, Luis Eduardo & Hamann-Salcedo, Franz Alonso (ed.), El mercado de trabajo en Colombia : hechos, tendencias e instituciones, chapter 10, pages 399-427,
Banco de la Republica de Colombia.
- Franz Hamann & Luis-Fernando Mejía, 2011. "Formalizando la informalidad empresarial en Colombia," Borradores de Economia 9078, Banco de la Republica.
- Franz Hamann & Luis-Fernando Mejía, 2011. "Formalizando la informalidad empresarial en Colombia," Borradores de Economia 676, Banco de la Republica de Colombia.
- José Victor Rios-Rull, 2002. "Desigualdad, ¿qué sabemos?," Investigaciones Economicas, Fundación SEPI, vol. 26(2), pages 221-254, May.
- Christoph Winter, 2014.
"Accounting for the Changing Role of Family Income in Determining College Entry,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 116(4), pages 909-963, October.
- Christoph Winter, 2007. "Accounting for the Changing Role of Family Income in Determining College Entry," Economics Working Papers ECO2007/49, European University Institute.
- Christoph Winter, 2009. "Accounting for the changing role of family income in determining college entry," IEW - Working Papers 402, Institute for Empirical Research in Economics - University of Zurich, revised Dec 2011.
- Dorofeenko, Victor & Lee, Gabriel S. & Salyer, Kevin D., 2010.
"A new algorithm for solving dynamic stochastic macroeconomic models,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 388-403, March.
- Kevin Salyer & Victor Dorofeenko & Gabriel Lee, 2005. "A New Algorithm for Solving Dynamic Stochastic Macroeconomic Models," Working Papers 211, University of California, Davis, Department of Economics.
More about this item
JEL classification:
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:99:y:2008:i:3:p:516-520. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.