Generalized Rouwenhorst

This package implements the generalized Rouwenhorst algorithm from Fella, G., Gallipoli, G., & Pan, J. (2019). Markov-chain approximations for life-cycle models. Review of Economic Dynamics, 34, 183-201. It is a Julia translation of the Matlab code provided by the authors under the MIT license. If you use this package, I suggest you cite the original authors and their paper.

To use

N = 2                       # Nodes
T = 2                       # Time periods
rho = fill(0.95,T)          # Must have length = T
sigma_eps = fill(0.1,T)     # Must have length = T

ygrd, trans = genrouwenhorst(rho,sigma_eps,N,T)
# ygrd is NxT array of grid values, with columns representing time period
# trans is the NxNxT transition matrix. I.e., `trans[1,2,2]' is the probability of transition from node 1 to node 2 in the second period.

Julia code for standard Rouwenhorst methods:

• QuantEcon.jl
• Gustavo Pereira