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Estimation by Simulation of Monotone Dynamical Systems

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Author Info
Manuel Santos () (W. P. Carey School of Business Department of Economics)
Abstract

This paper offers a general proof of consistency for the simulated moments estimator in a parameterized family of stochastic models with monotone dynamics. Models with this monotonicity property are frequently encountered in economic applications. The proof of consistency of the estimator draws upon a uniform law of large numbers over a continuum of invariant distributions indexed by the model’s parameters.

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File URL: http://wpcarey.asu.edu/tools/mytools/pubs_admin/FILES/monotonedecisonjournal.pdf
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Paper provided by Department of Economics, W. P. Carey School of Business, Arizona State University in its series Working Papers with number 2133542.

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Handle: RePEc:asu:wpaper:2133542

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