BACK TO THE FUTURE - GENERATING MOMENT IMPLICATIONS FOR CONTINUOUS-TIME MARKOV-PROCESSES

Authors
HANSEN LP SCHEINKMAN JA
Citation
Lp. Hansen et Ja. Scheinkman, BACK TO THE FUTURE - GENERATING MOMENT IMPLICATIONS FOR CONTINUOUS-TIME MARKOV-PROCESSES, Econometrica, 63(4), 1995, pp. 767-804
Citations number
62
Categorie Soggetti
Economics,"Social Sciences, Mathematical Methods","Mathematical, Methods, Social Sciences
Journal title
Econometrica → ACNP
ISSN journal
00129682
Volume
63
Issue
4
Year of publication
1995
Pages
767 - 804
Database
ISI
SICI code
0012-9682(1995)63:4<767:BTTF-G>2.0.ZU;2-4
Abstract
Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. We show how to use these generators to c onstruct moment conditions implied by stationary Markov processes. Gen eralized method of moments estimators and tests can be constructed usi ng these moment conditions. The resulting econometric methods are desi gned to be applied to discrete-time data obtained by sampling continuo us-time Markov processes.