Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes

Lars Peter Hansen and Jose Alexandre Scheinkman

Econometrica, 1995, vol. 63, issue 4, 767-804

Abstract: Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. The authors 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. Copyright 1995 by The Econometric Society.

Date: 1995
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Working Paper: Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes (1993)
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