Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. We show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method of moments estimators and tests can be constructed using these moment conditions. The resulting econometric methods are designed to be applied to discrete-time data obtained by sampling continuous-time Markov processes.
MLA
Scheinkman, Jose Alexandre, and Lars Peter Hansen. “Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes.” Econometrica, vol. 63, .no 4, Econometric Society, 1995, pp. 767-804, https://www.jstor.org/stable/2171800
Chicago
Scheinkman, Jose Alexandre, and Lars Peter Hansen. “Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes.” Econometrica, 63, .no 4, (Econometric Society: 1995), 767-804. https://www.jstor.org/stable/2171800
APA
Scheinkman, J. A., & Hansen, L. P. (1995). Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes. Econometrica, 63(4), 767-804. https://www.jstor.org/stable/2171800
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