TY  - JOUR
AU  - Duffie,Darrell
AU  - Singleton,Kenneth J.
TI  - Simulated Moments Estimation of Markov Models of Asset Prices
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 87
PY  - 1990
Y2  - March 1990
UR  - http://www.nber.org/papers/t0087
L1  - http://www.nber.org/papers/t0087.pdf
N1  - Author contact info:
Darrell Duffie
Graduate School of Business
Stanford University
Stanford, CA  94305-5015
Tel: 650/723-1976
Fax: 650/725-7979
E-Mail: duffie@stanford.edu

Kenneth J. Singleton
Graduate School of Business
Knight Management Center
Stanford University
Stanford, CA 94305
Tel: 650/723-5753
Fax: 650/725-6152
E-Mail: kenneths@stanford.edu
AB  - 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.
ER  -