TY - DATA T1 - a-momentmatching-method-for-approximating-vector-autoregressive-processes-by-finitestate-markov-cha AU - Gospodinov, Nikolay AU - Lkhagvasuren, Damba DO - doi:10.15456/jae.2022321.0714439773 AB - This paper proposes a moment-matching method for approximating vector autoregressions by finite-state Markov chains. The Markov chain is constructed by targeting the conditional moments of the underlying continuous process. The proposed method is more robust to the number of discrete values and tends to outperform the existing methods for approximating multivariate processes over a wide range of the parameter space, especially for highly persistent vector autoregressions with roots near the unit circle. ET - 1 PY - 2014 PB - ZBW - Leibniz Informationszentrum Wirtschaft UR - https://journaldata.zbw.eu/dataset/a-momentmatching-method-for-approximating-vector-autoregressive-processes-by-finitestate-markov-cha ER -