# Corro un archivo con los parametros
Tgrid=function(ne, ssigma_eps, llambda_eps, m){
grid = array(0, dim = ne)
ssigma_y = sqrt(ssigma_eps^2/(1-llambda_eps^2))
estep = 2*ssigma_y*m / (ne-1)
for(ii in 1:1:ne){
grid[ii] = -m*sqrt((ssigma_eps^2)/(1-llambda_eps^2)) + (ii-1)*estep
}
return(grid)
}
Rtauchen=function(ne, ssigma_eps, llambda_eps, m){
grid = Tgrid(ne, ssigma_eps, llambda_eps, m)
if(ne > 1){
w = grid[2] - grid[1]
P = array(0, dim = c(ne,ne))
for(jj in 1:ne){
for(kk in 1:ne){
if(kk == 1){
P[jj,kk] = pnorm((grid[kk] - llambda_eps*grid[jj]+(w/2))/ssigma_eps)
}
else if(kk == ne){
P[jj,kk] = 1- pnorm((grid[kk] - llambda_eps*grid[jj]-(w/2))/ssigma_eps)
}
else{
P[jj,kk] = pnorm((grid[kk] - llambda_eps*grid[jj]+(w/2))/ssigma_eps)-pnorm((grid[kk] - llambda_eps*grid[jj]-(w/2))/ssigma_eps)
}
}
}
} else{
P = 1
}
return(P)
}
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