Arbeitspapier
Markov-chain approximations for life-cycle models
Non-stationary income processes are standard in quantitative life-cycle models, prompted by the observation that within-cohort income inequality increases with age. This paper generalizes Tauchen (1986) and Rouwenhorst's (1995) discretization methods to non-stationary AR(1) processes. We evaluate the performance of both methods in the context of a canonical finite-horizon, income-uctuation problem with a non-stationary income process. We find that the generalized Rouwenhorst's method performs extremely well even with a relatively small number of states.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 827
- Klassifikation
-
Wirtschaft
Computational Techniques; Simulation Modeling
- Thema
-
Numerical methods
finite state approximations
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fella, Giulio
Gallipoli, Giovanni
Pan, Jutong
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, School of Economics and Finance
- (wo)
-
London
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Fella, Giulio
- Gallipoli, Giovanni
- Pan, Jutong
- Queen Mary University of London, School of Economics and Finance
Entstanden
- 2017
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