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The proposed method is more robust to the number of discrete values and tends to outperform the existing methods for approximating multivariate processes over a wide range of the parameter space, especially for highly persistent vector autoregressions with roots near the unit circle. Copyright \u00a9 2013 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2354","type":"journal-article","created":{"date-parts":[[2013,10,11]],"date-time":"2013-10-11T22:01:31Z","timestamp":1381528891000},"page":"843-859","source":"Crossref","is-referenced-by-count":29,"title":["A MOMENT\u2010MATCHING METHOD FOR APPROXIMATING VECTOR AUTOREGRESSIVE PROCESSES BY FINITE\u2010STATE MARKOV CHAINS"],"prefix":"10.1002","volume":"29","author":[{"given":"Nikolay","family":"Gospodinov","sequence":"first","affiliation":[{"name":"Research Department Federal Reserve Bank of Atlanta  Atlanta GA USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Damba","family":"Lkhagvasuren","sequence":"additional","affiliation":[{"name":"Department of Economics Concordia University  Montreal Quebec Canada"},{"name":"CIREQ, Montreal  Quebec Canada"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2013,9,25]]},"reference":[{"key":"e_1_2_9_2_1","volume-title":"Dynamic Economics","author":"Adda J","year":"2003"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.red.2012.02.002"},{"key":"e_1_2_9_4_1","first-page":"95","volume-title":"Computational Methods for the Study of Dynamic Economies","author":"Burnside C.","year":"1999"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.red.2011.10.001"},{"key":"e_1_2_9_6_1","first-page":"430","article-title":"Current real business cycle theories and aggregate labor market fluctuations","volume":"82","author":"Christiano LJ","year":"1992","journal-title":"American Economic Review"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1990.10509769"},{"key":"e_1_2_9_8_1","doi-asserted-by":"crossref","unstructured":"C\u00fardiaV ReisR.2010.Correlated disturbances and U.S. business cycles. 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