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Consistency Properties of a Simulation-Base Estimator for Dynamic Processes

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  • Manuel S. Santos

    (Department of Economics, University of Miami)

Abstract

This paper considers a simulation-based estimator for a general class of Markovian processes and explores some strong consistency properties of the estimator. These results are of interest for various kinds of simulation-based estimation methods typically used in economics and finance. The estimation problem is defined over a continuum of invariant distributions indexed by a vector of parameters. A key step in the method of proof is to show the uniform convergence (a.s.) of a family of sample distributions over the domain of parameters. This uniform convergence holds under mild continuity and monotonicity conditions on the dynamic process.

Suggested Citation

  • Manuel S. Santos, 2007. "Consistency Properties of a Simulation-Base Estimator for Dynamic Processes," Working Papers 0613, University of Miami, Department of Economics.
    • Handle: RePEc:mia:wpaper:0613
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    References listed on IDEAS

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    6. Jaimovich, Nir, 2007. "Firm dynamics and markup variations: Implications for sunspot equilibria and endogenous economic fluctuations," Journal of Economic Theory, Elsevier, vol. 137(1), pages 300-325, November.
    7. Manuel S. Santos & Adrian Peralta-Alva, 2005. "Accuracy of Simulations for Stochastic Dynamic Models," Econometrica, Econometric Society, vol. 73(6), pages 1939-1976, November.
    8. 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.
    9. 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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    12. Santos, Manuel S., 2004. "Simulation-based estimation of dynamic models with continuous equilibrium solutions," Journal of Mathematical Economics, Elsevier, vol. 40(3-4), pages 465-491, June.
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    18. Leonard Mirman & Olivier Morand & Kevin Reffett, "undated". "A Qualitative Theory of Markovian Equilibrium in Infinite Horizon Economies with Capital," Working Papers 2133376, Department of Economics, W. P. Carey School of Business, Arizona State University.
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    Cited by:

    1. Manuel S. Santos & Adrian Peralta-Alva, 2012. "Analysis of Numerical Errors," Working Papers 2012-6, University of Miami, Department of Economics.
    2. Miguel Angel Iraola & Manuel S. Santos, 2009. "Long-Term Asset Price Volatility and Macroeconomics Fluctations," Working Papers 0909, Centro de Investigacion Economica, ITAM.

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    More about this item

    Keywords

    Markov process; simulation-based estimation; invariant probability; sample distribution; monotonicity; strong consistency;
    All these keywords.

    JEL classification:

    • J12 - Labor and Demographic Economics - - Demographic Economics - - - Marriage; Marital Dissolution; Family Structure
    • J13 - Labor and Demographic Economics - - Demographic Economics - - - Fertility; Family Planning; Child Care; Children; Youth
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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