NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Simulated Moments Estimation of Markov Models of Asset Prices

Darrell Duffie, Kenneth J. Singleton

NBER Technical Working Paper No. 87
Issued in March 1990
NBER Program(s):   EFG   ME

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.

download in pdf format
   (3335 K)

email paper

This paper is available as PDF (3335 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/t0087

Published: econometrica, vol. 61, no. 4. july 1993, 929-952.

Users who downloaded this paper also downloaded these:
Hansen and Scheinkman t0141 Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
Cochrane w4025 A Cross-Sectional Test of a Production-Based Asset Pricing Model
Hansen and Jagannathan t0089 Implications of Security Market Data for Models of Dynamic Economies
Newey and West t0055 A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us