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Markov-chain approximations for non-stationary AR(1) processes (Fortran version)
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mod_lcrouwenhorst.f90
mod_lctauchen.f90

README.md

Markov-Chain Approximations for Life-Cycle Models (Fortran version)

This repository provides Fortran subroutines to construct Markov chain approximations of (non-stationary) AR(1) processes as described in the paper "Markov-Chain Approximations for Life-Cycle Models" by Giulio Fella, Giovanni Gallipoli and Jutong Pan, Review of Economic Dynamics 34, 2019 (https://doi.org/10.1016/j.red.2019.03.013).

Contains

  • mod_lcrouwenhorst.f90 subroutine to discretise a non-stationary AR(1) using our extension of Rouwenhorst [1995. "Asset pricing implications of equilibrium business cycle models," in `Frontiers of business cycle research', T. F. Cooley ed., Princeton University Press, Chapter 10.]
  • mod_lctauchen.f90 subroutine to discretise a non-stationary AR(1) using our extension of Tauchen [1986. "Finite State Markov-Chain Approximations to Univariate and Vector Autoregressions," Economics Letters 20].
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