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Simulation-based estimation of dynamic models with continuous equilibrium solutions

Listed author(s):
  • Santos, Manuel S.
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    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.

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    File URL: http://e-archivo.uc3m.es/bitstream/handle/10016/298/we034716.pdf?sequence=1
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    Paper provided by Universidad Carlos III de Madrid. Departamento de Economía in its series UC3M Working papers. Economics with number we034716.

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    Date of creation: Oct 2003
    Handle: RePEc:cte:werepe:we034716
    Contact details of provider: Web page: http://www.eco.uc3m.es/

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    1. Duffie, Darrell & Singleton, Kenneth J, 1993. "Simulated Moments Estimation of Markov Models of Asset Prices," Econometrica, Econometric Society, vol. 61(4), pages 929-952, July.
    2. Daniel McFadden, 1987. "A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration," Working papers 464, Massachusetts Institute of Technology (MIT), Department of Economics.
    3. Manuel S. Santos & Adrian Peralta-Alva, 2005. "Accuracy of Simulations for Stochastic Dynamic Models," Econometrica, Econometric Society, vol. 73(6), pages 1939-1976, November.
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    10. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
    11. Manuel Santos & Salvador Ortigueira, "undated". "Equilibrium Dynamics in a Two-Sector Model with Taxes," Working Papers 2133332, Department of Economics, W. P. Carey School of Business, Arizona State University.
    12. Pierre-Olivier Gourinchas & Jonathan A. Parker, 1999. "Consumption Over the Life Cycle," NBER Working Papers 7271, National Bureau of Economic Research, Inc.
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    14. Santos, Manuel S., 1999. "Numerical solution of dynamic economic models," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 5, pages 311-386 Elsevier.
    15. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
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    17. Klaus Reiner Schenk-Hopp� & Bj�rn Schmalfuss, "undated". "Random Fixed Points in a Stochastic Solow Growth Model," IEW - Working Papers 065, Institute for Empirical Research in Economics - University of Zurich.
    18. Datta, Manjira & Mirman, Leonard J. & Reffett, Kevin L., 2002. "Existence and Uniqueness of Equilibrium in Distorted Dynamic Economies with Capital and Labor," Journal of Economic Theory, Elsevier, vol. 103(2), pages 377-410, April.
    19. Futia, Carl A, 1982. "Invariant Distributions and the Limiting Behavior of Markovian Economic Models," Econometrica, Econometric Society, vol. 50(2), pages 377-408, March.
    20. Araujo, A & Scheinkman, Jose A, 1977. "Smoothness, Comparative Dynamics, and the Turnpike Property," Econometrica, Econometric Society, vol. 45(3), pages 601-620, April.
    21. Manuel S. Santos, 2003. "Estimation by Simulation of Monotone Dynamical Systems," Levine's Working Paper Archive 506439000000000229, David K. Levine.
    22. Greenwood, Jeremy & Huffman, Gregory W., 1993. "On the existence of nonoptimal equilibria in dynamic stochastic economies," Working Papers 9330, Federal Reserve Bank of Dallas.
    23. Newey, Whitney K. & McFadden, Daniel, 1986. "Large sample estimation and hypothesis testing," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 36, pages 2111-2245 Elsevier.
    24. Coleman, Wilbur John, II, 1991. "Equilibrium in a Production Economy with an Income Tax," Econometrica, Econometric Society, vol. 59(4), pages 1091-1104, July.
    25. D. K. Foley & M. F. Hellwig, 1973. "Asset Management with Trading Uncertainty," Working papers 108, Massachusetts Institute of Technology (MIT), Department of Economics.
    26. Lars Peter Hansen & Jose Alexandre Scheinkman, 1993. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," NBER Technical Working Papers 0141, National Bureau of Economic Research, Inc.
    27. Bizer, David S & Judd, Kenneth L, 1989. "Taxation and Uncertainty," American Economic Review, American Economic Association, vol. 79(2), pages 331-336, May.
    28. Santos, Manuel S., 2002. "On Non-existence of Markov Equilibria in Competitive-Market Economies," Journal of Economic Theory, Elsevier, vol. 105(1), pages 73-98, July.
    29. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-1286, September.
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    31. Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, vol. 64(3), pages 527-560, May.
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    33. Rabi Bhattacharya & Mukul Majumdar, 2003. "Random dynamical systems: a review," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 23(1), pages 13-38, December.
    34. Lee, Bong-Soo & Ingram, Beth Fisher, 1991. "Simulation estimation of time-series models," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 197-205, February.
    35. Hopenhayn, Hugo A & Prescott, Edward C, 1992. "Stochastic Monotonicity and Stationary Distributions for Dynamic Economies," Econometrica, Econometric Society, vol. 60(6), pages 1387-1406, November.
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