Advanced Search
MyIDEAS: Login

Consistency Properties of a Simulation-Base Estimator for Dynamic Processes

Contents:

Author Info

  • Manuel S. Santos

    ()
    (Department of Economics, University of Miami)

Registered author(s):

    Abstract

    This paper considers a simulation-based estimator for a general class of Markovian processes and explores some strong consistency properties of the estimator. These results are of interest for various kinds of simulation-based estimation methods typically used in economics and finance. The estimation problem is defined over a continuum of invariant distributions indexed by a vector of parameters. A key step in the method of proof is to show the uniform convergence (a.s.) of a family of sample distributions over the domain of parameters. This uniform convergence holds under mild continuity and monotonicity conditions on the dynamic process.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Paper provided by University of Miami, Department of Economics in its series Working Papers with number 0613.

    as in new window
    Length: 22 pages
    Date of creation: 25 Aug 2007
    Date of revision:
    Publication status: Forthcoming: In revision
    Handle: RePEc:mia:wpaper:0613

    Contact details of provider:
    Postal: P.O. Box 248126, Coral Gables, FL 33124-6550
    Phone: (305) 284-5540
    Fax: (305) 284-2985
    Web page: http://www.bus.miami.edu/faculty-and-research/academic-departments/economics/index.html
    More information through EDIRC

    Related research

    Keywords: Markov process; simulation-based estimation; invariant probability; sample distribution; monotonicity; strong consistency;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:mia:wpaper:0613. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher Parmeter).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.