Add drift term keyword to markov.tauchen.#484
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mmcky merged 1 commit intoQuantEcon:masterfrom May 24, 2019
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@shizejin Great work and great analysis. I was surprised the standard deviation wasn't a bit closer so I tried with m=4 and n=150. It was much better. (I remember now that the approximation actually gets worse when m gets large.) @mmcky I approve this PR. I would be glad if we could get this merged and a new version of QE.py released quickly to fix the bug @AnjuJoon found. |
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Try to make
markov.tauchenable to handle non-zero drift term in the AR(1) process.Here discusses the logic of modification made.