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Simulated Moments Estimation of Markov Models of Asset Prices

This paper provides a simulated moments estimator (SME) of the parameters of dynamic models in which the state vector follows a time-homogeneous Markov process. Conditions are provided for both weak and strong consistency as well as asymptotic normality. Various tradeoff's among the regularity conditions underlying the large sample properties of the SME are discussed in the context of an asset pricing model.
Year of publication:
1990-03
Authors: Duffie, Darrell ; Singleton, Kenneth J.
Institutions: National Bureau of Economic Research (NBER)
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
EFG ME published as econometrica, vol. 61, no. 4. july 1993, 929-952. Number 0087
Source:
Persistent link: https://www.econbiz.de/10005725322
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