Simulated Moments Estimation of Markov Models of Asset Prices

DOI10.2307/2951768MaRDI QIDQ3142745zbMATH OpenOpenAlexFDO

Authors Kenneth J. Singleton, Darrell Duffie

Publication date 20 December 1993

Published in Econometrica (Search for Journal in Brave)

Full work available at URL http://www.nber.org/papers/t0087.pdf

zbMATH Keywords

asset- pricing modelsasymptotic distributionasymptotic normalitydynamic asset-pricinggeneralized method of momentsgeometric ergodicitymodel estimationmodulus-of-continuity conditionsparameter dependencysimulated moments estimatorstochastic growth modelstrong consistencytime-homogeneous Markov processuniform strong law of large numbersweak consistency

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of statistics to economics (62P20)

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