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Estimation by Simulation of Monotone Dynamical Systems

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  • Manuel S. Santos

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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  • Manuel S. Santos, 2003. "Estimation by Simulation of Monotone Dynamical Systems," Levine's Working Paper Archive 506439000000000229, David K. Levine.
    • Handle: RePEc:cla:levarc:506439000000000229
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    Cited by:

    1. Manuel S. Santos & Adrian Peralta-Alva, 2005. "Accuracy of Simulations for Stochastic Dynamic Models," Econometrica, Econometric Society, vol. 73(6), pages 1939-1976, November.
    2. Manuel S. Santos & Adrian Peralta-Alva, 2005. "Accuracy of Simulations for Stochastic Dynamic Models," Econometrica, Econometric Society, vol. 73(6), pages 1939-1976, November.
    3. Santos, Manuel S., 2003. "Simulation-based estimation of dynamic models with continuous equilibrium solutions," UC3M Working papers. Economics we034716, Universidad Carlos III de Madrid. Departamento de Economía.
    4. Santos, Manuel S., 2004. "Simulation-based estimation of dynamic models with continuous equilibrium solutions," Journal of Mathematical Economics, Elsevier, vol. 40(3-4), pages 465-491, June.

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