Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
AbstractContinuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. We 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.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0141.
Date of creation: Sep 1993
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Publication status: published as Hansen, Lars Peter and Jose Alexandre Scheinkman. "Back To The Future: Generating Moment Implications For Continuous-Time Markov Processes," Econometrica, 1995, v63(4), 767-804.
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- Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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