Galindev, Ragchaasuren; Lkhagvasuren, Damba - In: Journal of Economic Dynamics and Control 34 (2010) 7, pp. 1260-1276
The finite state Markov-chain approximation methods developed by Tauchen (1986) and Tauchen and Hussey (1991) are widely used in economics, finance and econometrics to solve functional equations in which state variables follow autoregressive processes. For highly persistent processes, the...