Simulated Moments Estimation of Markov Models of Asset Prices
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.
Document Object Identifier (DOI): 10.3386/t0087
Published: econometrica, vol. 61, no. 4. july 1993, 929-952.
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