SIMULATED MOMENTS ESTIMATION OF MARKOV-MODELS OF ASSET PRICES

Authors
DUFFIE D SINGLETON KJ
Citation
D. Duffie et Kj. Singleton, SIMULATED MOMENTS ESTIMATION OF MARKOV-MODELS OF ASSET PRICES, Econometrica, 61(4), 1993, pp. 929-952
Citations number
28
Categorie Soggetti
Economics,"Social Sciences, Mathematical Methods","Mathematical, Methods, Social Sciences
Journal title
Econometrica → ACNP
ISSN journal
00129682
Volume
61
Issue
4
Year of publication
1993
Pages
929 - 952
Database
ISI
SICI code
0012-9682(1993)61:4<929:SMEOMO>2.0.ZU;2-2
Abstract
This paper provides a simulated moments estimator (SME) of the paramet ers of dynamic models in which the state vector follows a time-homogen eous Markov process. Conditions are provided for both weak and strong consistency as well as asymptotic normality. Various tradeoffs among t he regularity conditions underlying the large sample properties of the SME are discussed in the context of an asset-pricing model.