Simulated Moments Estimation of Markov Models of Asset Prices / Darrell Duffie, Kenneth J. Singleton.

By:

Duffie, Darrell

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Material type: Text

TextSeries: Technical Working Paper Series (National Bureau of Economic Research) ; no. t0087.Publication details: Cambridge, Mass. National Bureau of Economic Research 1990.Description: 1 online resource: illustrations (black and white)Subject(s):

C - Mathematical and Quantitative Methods

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Abstract: 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.

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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber t0087 (Browse shelf(Opens below))	Not For Loan

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March 1990.

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.