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Simulation-based estimation of dynamic models with continuous equilibrium solutions

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  • Santos, Manuel S.

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.

Suggested Citation

  • Santos, Manuel S., 2003. "Simulation-based estimation of dynamic models with continuous equilibrium solutions," UC3M Working papers. Economics we034716, Universidad Carlos III de Madrid. Departamento de Economía.
  • Handle: RePEc:cte:werepe:we034716
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    Cited by:

    1. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Manuel S. Santos, 2006. "Convergence Properties of the Likelihood of Computed Dynamic Models," Econometrica, Econometric Society, vol. 74(1), pages 93-119, January.

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