Estimation by simulation of monotone dynamical systems
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The authors give a general proof of consistency for the simulated moments estimator in a parameterized family of stochastic models with monotone dynamics. These models are frequently encountered in economic applications. The proof of the estimator draws upon a uniform law of large numbers over a continuum of invariant distributions indexed by the model's parameters.
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Cites work
- A qualitative approach to Markovian equilibrium in infinite horizon economies with capital
- Asymptotic Properties of Non-Linear Least Squares Estimators
- Asymptotics of a class of Markov processes which are not in general irreducible
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- Convergence of stochastic processes
- Equilibrium in a Production Economy with an Income Tax
- Existence and uniqueness of equilibrium in distorted dynamic economies with capital and labor
- Generalizations of the Glivenko-Cantelli Theorem
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
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- scientific article; zbMATH DE number 1201579 (Why is no real title available?)
- Invariant Distributions and the Limiting Behavior of Markovian Economic Models
- Nonparametric Pricing of Interest Rate Derivative Securities
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- One-Sector Nonclassical Optimal Growth: Optimality Conditions and Comparative Dynamics
- Simulated Moments Estimation of Markov Models of Asset Prices
- Simulation estimation of time-series models
- Stochastic growth with correlated production shocks
- Stochastic Monotonicity and Stationary Distributions for Dynamic Economies
- Uniformity in weak convergence
Cited in
(10)- Estimation of ergodic agent-based models by simulated minimum distance
- Simulation-based estimation of dynamic models with continuous equilibrium solutions
- Consistency properties of a simulation-based estimator for dynamic processes
- Seeking ergodicity in dynamic economies
- Monotone Emulation of Computer Experiments
- scientific article; zbMATH DE number 4131512 (Why is no real title available?)
- Comments on ``Convergence properties of the likelihood of computed dynamic models
- Estimation of dynamic latent variable models using simulated non-parametric moments
- Accuracy of Simulations for Stochastic Dynamic Models
- Simulation estimation of time-series models
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