Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 63 (1995)
Issue (Month): 4 (July)
|Contact details of provider:|| Phone: 1 212 998 3820|
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/
More information through EDIRC
|Order Information:|| Web: https://www.econometricsociety.org/publications/econometrica/access/ordering-back-issues Email: |
References listed on IDEAS
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.:
- Hansen, Lars Peter, 1985. "A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 203-238.
- Newey, W.K., 1990. "Efficient Estimation Of Semiparametric Models Via Moment Restrictions," Papers 352, Princeton, Department of Economics - Econometric Research Program.
- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
- Phillips, P. C. B., 1973. "The problem of identification in finite parameter continuous time models," Journal of Econometrics, Elsevier, vol. 1(4), pages 351-362, December.
- Bierens, Herman J, 1990.
"A Consistent Conditional Moment Test of Functional Form,"
Econometric Society, vol. 58(6), pages 1443-58, November.
- Bierens, H.J., 1989. "A consistent conditional moment test of functional form," Serie Research Memoranda 0064, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Scheinkman, Jose A, 1990. "Nonlinearities in Economic Dynamics," Economic Journal, Royal Economic Society, vol. 100(400), pages 33-48, Supplemen.
- Robinson, P M, 1976. "The Estimation of Linear Differential Equations with Constant Coefficients," Econometrica, Econometric Society, vol. 44(4), pages 751-64, July.
- Andrew W. Lo, 1986.
"Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data,"
NBER Technical Working Papers
0059, National Bureau of Economic Research, Inc.
- Lo, Andrew W., 1988. "Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data," Econometric Theory, Cambridge University Press, vol. 4(02), pages 231-247, August.
- Andrew W. Lo, . "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," Rodney L. White Center for Financial Research Working Papers 15-86, Wharton School Rodney L. White Center for Financial Research.
- Maurice Obstfeld & Alan C. Stockman, 1983.
NBER Working Papers
1230, National Bureau of Economic Research, Inc.
- repec:oup:qjecon:v:106:y:1991:i:3:p:669-82 is not listed on IDEAS
- 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.
- Hua He., 1990. "Moment Approximation and Estimation of Diffusion Models of Asset Prices," Research Program in Finance Working Papers RPF-193, University of California at Berkeley.
- Duffie, Darrell & Singleton, Kenneth J, 1993.
"Simulated Moments Estimation of Markov Models of Asset Prices,"
Econometric Society, vol. 61(4), pages 929-52, July.
- Darrell Duffie & Kenneth J. Singleton, 1990. "Simulated Moments Estimation of Markov Models of Asset Prices," NBER Technical Working Papers 0087, National Bureau of Economic Research, Inc.
- Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-90, March.
- Lars Peter Hansen & Thomas J. Sargent, 1981.
"The dimensionality of the aliasing problem in models with rational spectral densities,"
72, Federal Reserve Bank of Minneapolis.
- Hansen, Lars Peter & Sargent, Thomas J, 1983. "The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities," Econometrica, Econometric Society, vol. 51(2), pages 377-87, March.
- Chamberlain, Gary, 1992. "Efficiency Bounds for Semiparametric Regression," Econometrica, Econometric Society, vol. 60(3), pages 567-96, May.
- Anderson, Brian D.O., 1982. "Reverse-time diffusion equation models," Stochastic Processes and their Applications, Elsevier, vol. 12(3), pages 313-326, May.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
When requesting a correction, please mention this item's handle: RePEc:ecm:emetrp:v:63:y:1995:i:4:p:767-804. 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: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
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.