Tgrid: Tgrid

In davidzarruk/Rtauchen: Discretization of AR(1) Processes

Description

This function generates a grid of a finite-state Markov chain that mimics an AR(1) process with persistence parameter llamda, standard deviation ssigma and a fixed parameter m.

Usage

Tgrid(ne, ssigma_eps, llambda_eps, m)

Arguments

ne	Number of points of the grid of the finite-state Markov chain that mimics the AR(1) process
ssigma_eps	Standard deviation of exogenous shock in the AR(1) process
llambda_eps	Persistence parameter of the AR(1) process
m	Tauchen parameter for the width of the process (number of standard deviations of the AR(1) process covered by the grid)

Details

See Tauchen (1986) for details.

Value

An array with the grid points of a finite-state Markov chain which approximates the original AR(1) process.

Examples

results = Tgrid(5, 0.02, 0.98, 3)

davidzarruk/Rtauchen documentation built on May 15, 2019, 1:16 a.m.