Rtauchen {Rtauchen} | R Documentation |
Rtauchen
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
[Package Rtauchen version 1.0 Index]