Add rouwenhorst method for approx AR(1) with MC#282
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NOTE: This needs tests...
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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 let's discuss when we meet up this morning re: git |
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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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Looks great! |
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NOTE: This needs tests...