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Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes

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  • Hansen, Lars Peter
  • Scheinkman, Jose Alexandre

Abstract

Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. The authors show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method of moments estimators and tests can be constructed using these moment conditions. The resulting econometric methods are designed to be applied to discrete-time data obtained by sampling continuous-time Markov processes. Copyright 1995 by The Econometric Society.

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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 63 (1995)
Issue (Month): 4 (July)
Pages: 767-804

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Handle: RePEc:ecm:emetrp:v:63:y:1995:i:4:p:767-804

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  1. Scheinkman, Jose A, 1990. "Nonlinearities in Economic Dynamics," Economic Journal, Royal Economic Society, vol. 100(400), pages 33-48, Supplemen.
  2. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November.
  3. Duffie, Darrell & Singleton, Kenneth J, 1993. "Simulated Moments Estimation of Markov Models of Asset Prices," Econometrica, Econometric Society, vol. 61(4), pages 929-52, July.
  4. repec:fth:banfra:21 is not listed on IDEAS
  5. Hua He., 1990. "Moment Approximation and Estimation of Diffusion Models of Asset Prices," Research Program in Finance Working Papers RPF-193, University of California at Berkeley.
  6. Chamberlain, Gary, 1992. "Efficiency Bounds for Semiparametric Regression," Econometrica, Econometric Society, vol. 60(3), pages 567-96, May.
  7. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  8. Andrew W. Lo, . "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," Rodney L. White Center for Financial Research Working Papers 15-86, Wharton School Rodney L. White Center for Financial Research.
  9. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
  10. Hansen, Lars Peter & Sargent, Thomas J, 1983. "The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities," Econometrica, Econometric Society, vol. 51(2), pages 377-87, March.
  11. Anderson, Brian D.O., 1982. "Reverse-time diffusion equation models," Stochastic Processes and their Applications, Elsevier, vol. 12(3), pages 313-326, May.
  12. Paul R. Krugman, 1988. "Target Zones and Exchange Rate Dynamics," NBER Working Papers 2481, National Bureau of Economic Research, Inc.
  13. Phillips, P. C. B., 1973. "The problem of identification in finite parameter continuous time models," Journal of Econometrics, Elsevier, vol. 1(4), pages 351-362, December.
  14. Newey, W.K., 1990. "Efficient Estimation Of Semiparametric Models Via Moment Restrictions," Papers 352, Princeton, Department of Economics - Econometric Research Program.
  15. Robinson, P M, 1976. "The Estimation of Linear Differential Equations with Constant Coefficients," Econometrica, Econometric Society, vol. 44(4), pages 751-64, July.
  16. Maurice Obstfeld & Alan C. Stockman, 1983. "Exchange-Rate Dynamics," NBER Working Papers 1230, National Bureau of Economic Research, Inc.
  17. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  18. Hansen, Lars Peter, 1985. "A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 203-238.
  19. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-90, March.
  20. Harvey, A. C. & Stock, James H., 1985. "The Estimation of Higher-Order Continuous Time Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 1(01), pages 97-117, April.
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