SIMULATED MOMENTS ESTIMATION OF MARKOV-MODELS OF ASSET PRICES

被引：323

作者：

DUFFIE, D

SINGLETON, KJ

机构：

来源：

ECONOMETRICA | 1993年 / 61卷 / 04期

关键词：

MONTE-CARLO SIMULATION; GENERALIZED METHOD OF MOMENTS; GEOMETRIC ERGODICITY; UNIFORM STRONG LAW OF LARGE NUMBERS; MODEL ESTIMATION;

D O I：

10.2307/2951768

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 tradeoffs among the regularity conditions underlying the large sample properties of the SME are discussed in the context of an asset-pricing model.

引用

页码：929 / 952

页数：24

共 27 条

[1]

Amemiya T, 1986, ADV ECONOMETRICS

[2] CONSISTENCY IN NONLINEAR ECONOMETRIC-MODELS - A GENERIC UNIFORM LAW OF LARGE NUMBERS [J].