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How to implement a Poisson process?
Posted:
Mon Apr 11, 2016 9:51 amby CtGKKoK
Hello all,
is it possible to implement in Dynare a compound Poisson process in continuous- or discrete-time?
Or is there any workaround to approximate it?
Thanks a lot,
M.
Re: How to implement a Poisson process?
Posted:
Thu Apr 14, 2016 8:29 amby jpfeifer
In which context do you want the Poission process? As an exogenous shock? (Most probably the answer will be that it is not possible to do this in Dynare)
Re: How to implement a Poisson process?
Posted:
Fri Apr 15, 2016 9:18 amby CtGKKoK
Yes, as an exogenous shock.
Re: How to implement a Poisson process?
Posted:
Mon Apr 18, 2016 8:51 pmby jpfeifer
Could you please elaborate what exactly you have in mind. In the context of simult_ you can in principle provide random numbers from any distribution to Dynare.