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Simulated Moments Estimation of Markov Models of Asset Prices

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  • Darrell Duffie
  • Kenneth J. Singleton

Abstract

This paper provides a simulated moments estimator (SME) of the parameters of dynamic models in which the state vector follows a time-homogeneous Markov process. Conditions are provided for both weak and strong consistency as well as asymptotic normality. Various tradeoff's among the regularity conditions underlying the large sample properties of the SME are discussed in the context of an asset pricing model.

Suggested Citation

  • 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.
    • Handle: RePEc:nbr:nberte:0087
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    References listed on IDEAS

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