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Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes

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  • Hansen, Lars Peter
  • Scheinkman, Jose Alexandre

Abstract

Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. The authors 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. Copyright 1995 by The Econometric Society.

Suggested Citation

  • 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.
  • Handle: RePEc:ecm:emetrp:v:63:y:1995:i:4:p:767-804
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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
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    6. Obstfeld, Maurice & Stockman, Alan C., 1985. "Exchange-rate dynamics," Handbook of International Economics,in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 18, pages 917-977 Elsevier.
    7. Newey, W.K., 1990. "Efficient Estimation Of Semiparametric Models Via Moment Restrictions," Papers 352, Princeton, Department of Economics - Econometric Research Program.
    8. Harvey, A. C. & Stock, James H., 1985. "The Estimation of Higher-Order Continuous Time Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 1(01), pages 97-117, April.
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    18. Lars Peter Hansen & Thomas J. Sargent, 1981. "The dimensionality of the aliasing problem in models with rational spectral densities," Staff Report 72, Federal Reserve Bank of Minneapolis.
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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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