TY  - JOUR
AU  - Hansen,Lars Peter
AU  - Scheinkman,Jose Alexandre
TI  - Back to the Future: Generating Moment Implications for Continuous-Time  Markov Processes
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 141
PY  - 1993
Y2  - September 1993
UR  - http://www.nber.org/papers/t0141
L1  - http://www.nber.org/papers/t0141.pdf
N1  - Author contact info:
Lars P. Hansen
Department of Economics
The University of Chicago
1126 East 59th Street
Chicago, IL 60637
Tel: 773/702-8170
Fax: 773/702-8490
E-Mail: lhansen@uchicago.edu

Jose A. Scheinkman
Department of Economics
Princeton University
Princeton, NJ  08544-1021
Tel: 609/258-4020
Fax: 609/258-0771
E-Mail: joses@princeton.edu
AB  - 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.
ER  -