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Simulation-Based Estimation Of Dynamic Models With Continuous Equilibrium Solutions

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Author Info
Manuel S. Santos ()
Abstract

This paper presents several results on consistency properties of simulation-based estimators for a general class of dynamic models with continuous laws of motion. The consistency of these estimators follows from a uniform convergence property of the model's sample paths over the vector of parameters. This convergence property is established under either contractivity or monotonicity conditions on the dynamics of the system.

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Paper provided by Universidad Carlos III, Departamento de Economía in its series Economics Working Papers with number we034716.

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Date of creation: Oct 2003
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Handle: RePEc:cte:werepe:we034716

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Greenwood Jeremy & Huffman Gregory W., 1995. "On the Existence of Nonoptimal Equilibria in Dynamic Stochastic Economies," Journal of Economic Theory, Elsevier, vol. 65(2), pages 611-623, April. [Downloadable!] (restricted)
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  2. George Hall & John Rust, 2002. "Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market," Cowles Foundation Discussion Papers 1376, Cowles Foundation, Yale University. [Downloadable!]
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  3. McFadden, Daniel, 1989. "A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration," Econometrica, Econometric Society, vol. 57(5), pages 995-1026, September. [Downloadable!] (restricted)
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  4. Manuel S. Santos & Adrian Peralta-Alva, 2003. "Accuracy of Simulations for Stochastic Dynamic Models," Levine's Bibliography 666156000000000264, UCLA Department of Economics. [Downloadable!]
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  5. Donaldson, John B. & Mehra, Rajnish, 1983. "Stochastic growth with correlated production shocks," Journal of Economic Theory, Elsevier, vol. 29(2), pages 282-312, April. [Downloadable!] (restricted)
  6. Manuel S. Santos, 2003. "Estimation by Simulation of Monotone Dynamical Systems," Levine's Bibliography 506439000000000229, UCLA Department of Economics. [Downloadable!]
  7. Schenk-Hoppe, Klaus Reiner & Schmalfu[ss], Bjorn, 2001. "Random fixed points in a stochastic Solow growth model," Journal of Mathematical Economics, Elsevier, vol. 36(1), pages 19-30, September. [Downloadable!] (restricted)
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  8. Manuel Santos & Salvador Ortigueira, . "Equilibrium Dynamics in a Two-Sector Model with Taxes," Working Papers 2133332, Department of Economics, W. P. Carey School of Business, Arizona State University. [Downloadable!]
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  9. Lee, Bong-Soo & Ingram, Beth Fisher, 1991. "Simulation estimation of time-series models," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 197-205, February. [Downloadable!] (restricted)
  10. Santos, Manuel S., 1999. "Numerical solution of dynamic economic models," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 5, pages 311-386 Elsevier. [Downloadable!] (restricted)
  11. Ellison, Glenn & Fudenberg, Drew, 1993. "Rules of Thumb for Social Learning," Journal of Political Economy, University of Chicago Press, vol. 101(4), pages 612-43, August. [Downloadable!] (restricted)
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  12. Rabi Bhattacharya & Mukul Majumdar, 2003. "Random dynamical systems: a review," Economic Theory, Springer, vol. 23(1), pages 13-38, December. [Downloadable!] (restricted)
  13. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October. [Downloadable!]
  14. 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. [Downloadable!] (restricted)
  15. Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, vol. 64(3), pages 527-60, May. [Downloadable!] (restricted)
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  16. Hopenhayn, Hugo A & Prescott, Edward C, 1992. "Stochastic Monotonicity and Stationary Distributions for Dynamic Economies," Econometrica, Econometric Society, vol. 60(6), pages 1387-406, November. [Downloadable!] (restricted)
  17. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De. [Downloadable!] (restricted)
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  18. Datta, Manjira & Mirman, Leonard J. & Reffett, Kevin L., 2002. "Existence and Uniqueness of Equilibrium in Distorted Dynamic Economies with Capital and Labor," Journal of Economic Theory, Elsevier, vol. 103(2), pages 377-410, April. [Downloadable!] (restricted)
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  19. Per Krusell & Anthony A. Smith & Jr., 1998. "Income and Wealth Heterogeneity in the Macroeconomy," Journal of Political Economy, University of Chicago Press, vol. 106(5), pages 867-896, October. [Downloadable!] (restricted)
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  20. Brock, William A. & Mirman, Leonard J., 1972. "Optimal economic growth and uncertainty: The discounted case," Journal of Economic Theory, Elsevier, vol. 4(3), pages 479-513, June. [Downloadable!] (restricted)
  21. Bizer, David S & Judd, Kenneth L, 1989. "Taxation and Uncertainty," American Economic Review, American Economic Association, vol. 79(2), pages 331-36, May. [Downloadable!] (restricted)
  22. Lars Peter Hansen & Jose Alexandre Scheinkman, 1993. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," NBER Technical Working Papers 0141, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  23. Coleman, Wilbur John, II, 1991. "Equilibrium in a Production Economy with an Income Tax," Econometrica, Econometric Society, vol. 59(4), pages 1091-1104, July. [Downloadable!] (restricted)
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  24. Pierre-Olivier Gourinchas & Jonathan A. Parker, 2002. "Consumption Over the Life Cycle," Econometrica, Econometric Society, vol. 70(1), pages 47-89, January. [Downloadable!] (restricted)
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  25. Futia, Carl A, 1982. "Invariant Distributions and the Limiting Behavior of Markovian Economic Models," Econometrica, Econometric Society, vol. 50(2), pages 377-408, March. [Downloadable!] (restricted)
  26. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
  27. Santos, Manuel S., 2002. "On Non-existence of Markov Equilibria in Competitive-Market Economies," Journal of Economic Theory, Elsevier, vol. 105(1), pages 73-98, July. [Downloadable!] (restricted)
  28. Foley, Duncan K & Hellwig, Martin F, 1975. "Asset Management with Trading Uncertainty," Review of Economic Studies, Blackwell Publishing, vol. 42(3), pages 327-46, July. [Downloadable!] (restricted)
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  29. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September. [Downloadable!] (restricted)
  30. Araujo, A & Scheinkman, Jose A, 1977. "Smoothness, Comparative Dynamics, and the Turnpike Property," Econometrica, Econometric Society, vol. 45(3), pages 601-20, April. [Downloadable!] (restricted)
  31. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
  32. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-86, September. [Downloadable!] (restricted)
  33. Jess Gaspar & Kenneth L. Judd, 1997. "Solving Large Scale Rational Expectations Models," NBER Technical Working Papers 0207, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez & Manuel Santos, 2004. "Convergence properties of the likelihood of computed dynamic models," Working Paper 2004-27, Federal Reserve Bank of Atlanta. [Downloadable!]
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