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Greenwood, Hercowitz and Huffman paper

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Greenwood, Hercowitz and Huffman paper

Postby Mave » Mon Aug 19, 2013 10:54 am

Hey guys,
I have to replicate the paper Investment, Capacity Utilization, and the Real Business Cycle by Greenwood, Hercowitz and Huffman.
http://www.jstor.org/discover/10.2307/1 ... 2565330227
There are two Problems:

First:
I'm looking for some code. Did anybody do this or has any help for me?

Second:
I have to change the Marcov- Process to an AR(1)-Process. Does anyone know how that works?

Thanks in advance!
Mave
 
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Re: Greenwood, Hercowitz and Huffman paper

Postby jpfeifer » Mon Aug 19, 2013 12:56 pm

Regarding the second part: the autocorrelation and standard deviation of the AR1 process implied by the Markov process are explicitly stated in the paper.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
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Joined: Sun Feb 21, 2010 4:02 pm
Location: Cologne, Germany
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