ECON 702 Midterm: mq16bJG_Greenwood_702
Document Summary
Good luck ! (kopecky and suen, 2010) this question tests your abil- ity to write out matlab code as you used on your three assignments (and not any other computer language). Consider the following ar1 process z 0 = (cid:26)z + ", where " (cid:24) n (0; (cid:27)). Ar1 process using a n -state markov chain, where n > 2. The variable z is constrained to always lie in a time-invariant grid of n equally spaced points centered around 0, so that z 2 fz1;(cid:1)(cid:1)(cid:1) ; zng with (cid:0)z1 = zn = > 0, where. The transition matrix, t n , has the form. 64 (cid:25)11 (cid:25)n 1 (cid:1)(cid:1)(cid:1) (cid:25)1n (cid:1)(cid:1)(cid:1) (cid:25)n n. Write out the matlab code for doing this, as well as the code for the long-mean, long-run standard deviation, and the long-run coe cient of autocorrelation.
