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Add rouwenhorst method for approx AR(1) with MC #282

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merged 2 commits into from
Mar 1, 2017
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sglyon
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@sglyon sglyon commented Feb 21, 2017

NOTE: This needs tests...

@jstac
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jstac commented Feb 21, 2017

@sglyon Thanks, appreciated.
@mmcky Perhaps one of our RAs can fix this and write a test. @lbui01 could probably do it.

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sglyon commented Feb 21, 2017

I should have pointed out that this may have been written by either @cc7768 or me -- it was for a homework assignment we had a couple years ago and I don't remember now who wrote which parts...

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lbui01 commented Feb 21, 2017

@jstac @mmcky - I'm happy to do this.

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jstac commented Feb 21, 2017

@lbui01 Great, thanks. If you explore the library you will get a feeling for how the tests are organized. Feel free to post questions.

@sglyon @cc7768 , @lbui01 is based here with us. He is doing well but will benefit from feedback on his PRs.

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mmcky commented Feb 21, 2017

@lbui01 let's discuss when we meet up this morning re: git

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lbui01 commented Mar 1, 2017

Hi @sglyon -

I have added a test for the rouwenhorst method. It's largely the same as the test for the tauchen test, except i've added a control case where i've pre-calculated the MC and state space values for pre-specified parameters.

Any comments would be appreciated!

I've also changed the _ _ init _ _ files in order to load the rouwenhorst from approximation.py.

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mmcky commented Mar 1, 2017

thanks @lbui01. This looks good to me.

@sglyon when convenient could you review and then I will merge.

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sglyon commented Mar 1, 2017

Looks great!

@sglyon sglyon merged commit 1ccfd8d into master Mar 1, 2017
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4 participants