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- W3127610149 abstract "The standard approach to discretizing VARs uses tensor grids. However, when the VAR components exhibit significant unconditional correlations or when there are more than a few variables, this approach creates large inefficiencies because some discretized states will be visited with only vanishingly small probability. I propose pruning these low-probability states, thereby constructing an efficient grid. I investigate how much an efficient grid improves accuracy in the context of an AR(2) model and a small-scale New Keynesian model featuring four shocks. In both contexts, the efficient grid vastly increases accuracy." @default.
- W3127610149 created "2021-02-15" @default.
- W3127610149 creator A5034813890 @default.
- W3127610149 date "2020-06-05" @default.
- W3127610149 modified "2023-09-23" @default.
- W3127610149 title "Efficient VAR Discretization, Working Paper 20-06" @default.
- W3127610149 hasPublicationYear "2020" @default.
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