EconPapers    
Economics at your fingertips  
 

A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains

Nikolay Gospodinov () and Damba Lkhagvasuren

No 11005, Working Papers from Concordia University, Department of Economics

Abstract: 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.

Keywords: Markov Chain; Vector Autoregressive Processes; Functional Equation; Numerical Methods; Moment Matching (search for similar items in EconPapers)
JEL-codes: C15 C60 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
Date: 2011-06-08, Revised 2011-12-16
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
https://sites.google.com/site/dlkhagva/var_Markov_MM.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: A MOMENT‐MATCHING METHOD FOR APPROXIMATING VECTOR AUTOREGRESSIVE PROCESSES BY FINITE‐STATE MARKOV CHAINS (2014) Downloads
Working Paper: A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:crd:wpaper:11005

Access Statistics for this paper

More papers in Working Papers from Concordia University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Economics Department ().

 
Page updated 2019-11-16
Handle: RePEc:crd:wpaper:11005