Rtauchen: Rtauchen

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

Description

This function generates a matrix of transition probabilites 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

Rtauchen(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

A matrix with the corresponding to the transition matrix of the finite-state Markov chain that approximates the AR(1) process

Examples

results = Rtauchen(2, 1.0e-5, 0.1,0.4)
results

rodazuero/Rtauchen documentation built on May 27, 2019, 12:16 p.m.