Discretizing nonlinear, non-Gaussian Markov processes with exact conditional moments

Quantitative Economics - Tập 8 Số 2 - Trang 651-683 - 2017
Leland E. Farmer1, Alexis Akira Toda1
1Department of Economics University of California, San Diego

Tóm tắt

Từ khóa


Tài liệu tham khảo

Adda, 2003, Dynamic Economics: Quantitative Methods and Applications

Aguirregabiria, 2007, Sequential estimation of dynamic discrete games, Econometrica, 75, 1, 10.1111/j.1468-0262.2007.00731.x

Aiyagari, 1994, Uninsured idiosyncratic risk and aggregate saving, Quarterly Journal of Economics, 109, 659, 10.2307/2118417

Aiyagari, 1995, Optimal capital income taxation with incomplete markets, borrowing constraints, and constant discounting, Journal of Political Economy, 103, 1158, 10.1086/601445

Aruoba, 2006, Comparing solution methods for dynamic equilibrium economies, Journal of Economic Dynamics and Control, 30, 2477, 10.1016/j.jedc.2005.07.008

Bansal, 2004, Risks for the long run: A potential resolution of asset pricing puzzles, Journal of Finance, 59, 1481, 10.1111/j.1540-6261.2004.00670.x

Barro, 2006, Rare disasters and asset markets in the twentieth century, Quarterly Journal of Economics, 121, 823, 10.1162/qjec.121.3.823

Bonomo, 2011, Generalized disappointment aversion, long-run volatility risk, and asset prices, Review of Financial Studies, 24, 82, 10.1093/rfs/hhq116

Borwein, 1991, Duality relationships for entropy-like minimization problems, SIAM Journal on Control and Optimization, 29, 325, 10.1137/0329017

Burnside, 1998, Solving asset pricing models with Gaussian shocks, Journal of Economic Dynamics and Control, 22, 329, 10.1016/S0165-1889(97)00075-4

Caldara, 2012, Computing DSGE models with recursive preferences and stochastic volatility, Review of Economic Dynamics, 15, 188, 10.1016/j.red.2011.10.001

Cecchetti, 1993, The equity premium and the risk-free rate: Matching moments, Journal of Monetary Economics, 31, 21, 10.1016/0304-3932(93)90015-8

Collard, 2001, Accuracy of stochastic perturbation methods: The case of asset pricing models, Journal of Economic Dynamics and Control, 25, 979, 10.1016/S0165-1889(00)00064-6

Dávila, 2012, Constrained efficiency in the neoclassical growth model with uninsurable idiosyncratic shocks, Econometrica, 80, 2431, 10.3982/ECTA5989

Davis, 1984, Methods of Numerical Integration

Farmer , L. E. 2016 The discretization filter: A simple way to estimate nonlinear state space models https://ssrn.com/abstract=2780166

Flodén, 2008, A note on the accuracy of Markov-chain approximations to highly persistent AR(1) processes, Economics Letters, 99, 516, 10.1016/j.econlet.2007.09.040

Gabaix, 2012, Variable rare disasters: An exactly solved framework for ten puzzles in macro-finance, Quarterly Journal of Economics, 127, 645, 10.1093/qje/qjs001

Galindev, 2010, Discretization of highly persistent correlated AR(1) shocks, Journal of Economic Dynamics and Control, 34, 1260, 10.1016/j.jedc.2010.02.006

Gospodinov, 2014, A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains, Journal of Applied Econometrics, 29, 843, 10.1002/jae.2354

Gourio, 2012, Disaster risk and business cycles, American Economic Review, 102, 2734, 10.1257/aer.102.6.2734

Guvenen, 2009, A parsimonious macroeconomic model for asset pricing, Econometrica, 77, 1711, 10.3982/ECTA6658

Guvenen, 2014, The nature of countercyclical income risk, Journal of Political Economy, 122, 621, 10.1086/675535

Haliassos, 2003, Portfolio choice and liquidity constraints, International Economic Review, 44, 143, 10.1111/1468-2354.t01-1-00065

Hamilton, 1989, A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, 57, 357, 10.2307/1912559

Heaton, 1996, Evaluating the effects of incomplete markets on risk sharing and asset pricing, Journal of Political Economy, 104, 443, 10.1086/262030

Heiss, 2008, Likelihood approximation by numerical integration on grids, Journal of Econometrics, 144, 62, 10.1016/j.jeconom.2007.12.004

Judd, 1992, Projection methods for solving aggregate growth models, Journal of Economic Theory, 58, 410, 10.1016/0022-0531(92)90061-L

Judd, 2011, Bond ladders and optimal portfolios, Review of Financial Studies, 24, 4123, 10.1093/rfs/hhr074

Kitamura, 2007, Advances in Economics and Econometrics: Theory and Applications, Ninth World Congress, 3, 174

Kopecky, 2010, Finite state Markov-chain approximations to highly persistent processes, Review of Economic Dynamics, 13, 701, 10.1016/j.red.2010.02.002

Krueger, 2004, Computing equilibrium in OLG models with stochastic production, Journal of Economic Dynamics and Control, 28, 1411, 10.1016/S0165-1889(03)00111-8

Kullback, 1951, On information and sufficiency, Annals of Mathematical Statistics, 22, 79, 10.1214/aoms/1177729694

Levintal , O. 2014 Fifth order perturbation solution to DSGE models http://ssrn.com/abstract=2364989

Maliar, 2015, Merging simulation and projection approaches to solve high-dimensional problems with an application to a new Keynesian model, Quantitative Economics, 6, 1, 10.3982/QE364

Mehra, 1985, The equity premium: A puzzle, Journal of Monetary Economics, 15, 145, 10.1016/0304-3932(85)90061-3

Owen, 2001, Empirical Likelihood, 92, 10.1201/9781420036152

Pohl , W. K. Schmedders O. Wilms 2015 Higher-order dynamics in asset-pricing models with recursive preferences https://ssrn.com/abstract=2540586

Rietz, 1988, The equity risk premium: A solution, Journal of Monetary Economics, 22, 117, 10.1016/0304-3932(88)90172-9

Rouwenhorst, 1995, Frontiers of Business Cycle Research, 294, 10.1515/9780691218052-014

Schmitt-Grohé, 2004, Solving dynamic general equilibrium models using a second-order approximation to the policy function, Journal of Economic Dynamics and Control, 28, 755, 10.1016/S0165-1889(03)00043-5

Tanaka, 2013, Discrete approximations of continuous distributions by maximum entropy, Economics Letters, 118, 445, 10.1016/j.econlet.2012.12.020

Tanaka, 2015, Discretizing distributions with exact moments: Error estimate and convergence analysis, SIAM Journal on Numerical Analysis, 53, 2158, 10.1137/140971269

Tauchen, 1986, Finite state Markov-chain approximations to univariate and vector autoregressions, Economics Letters, 20, 177, 10.1016/0165-1765(86)90168-0

Tauchen, 1991, Quadrature-based methods for obtaining approximate solutions to nonlinear asset pricing models, Econometrica, 59, 371, 10.2307/2938261

Terry, 2011, Markov-chain approximations of vector autoregressions: Application of general multivariate-normal integration techniques, Economics Letters, 110, 4, 10.1016/j.econlet.2010.09.008

Trefethen, 2008, Is Gauss quadrature better than Clenshaw-Curtis?, SIAM Review, 50, 67, 10.1137/060659831

Tsao, 2004, Bounds on coverage probabilities of the empirical likelihood ratio confidence regions, Annals of Statistics, 32, 1215, 10.1214/009053604000000337

Tsao, 2013, Empirical likelihood on the full parameter space, Annals of Statistics, 41, 2176, 10.1214/13-AOS1143

Tsionas, 2003, Exact solution of asset pricing models with arbitrary shock distributions, Journal of Economic Dynamics and Control, 27, 843, 10.1016/S0165-1889(02)00017-9

Vavra, 2014, Inflation dynamics and time-varying volatility: New evidence and an Ss interpretation, Quarterly Journal of Economics, 129, 215, 10.1093/qje/qjt027

Wachter, 2013, Can time-varying risk of rare disasters explain aggregate stock market volatility?, Journal of Finance, 68, 987, 10.1111/jofi.12018

Welch, 2008, A compehensive look at the empirical performance of equity premium prediction, Review of Financial Studies, 21, 1455, 10.1093/rfs/hhm014

Zhang, 2005, The value premium, Journal of Finance, 60, 67, 10.1111/j.1540-6261.2005.00725.x