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 tradeoffs among the regularity conditions underlying the large sample properties of the SME are discussed in the context of an asset-pricing model.
MLA
Duffie, Darrell, and Kenneth J. Singleton. “Simulated Moments Estimation of Markov Models of Asset Prices.” Econometrica, vol. 61, .no 4, Econometric Society, 1993, pp. 929-952, https://www.jstor.org/stable/2951768
Chicago
Duffie, Darrell, and Kenneth J. Singleton. “Simulated Moments Estimation of Markov Models of Asset Prices.” Econometrica, 61, .no 4, (Econometric Society: 1993), 929-952. https://www.jstor.org/stable/2951768
APA
Duffie, D., & Singleton, K. J. (1993). Simulated Moments Estimation of Markov Models of Asset Prices. Econometrica, 61(4), 929-952. https://www.jstor.org/stable/2951768
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