Consistency properties of a simulation-based estimator for dynamic processes

Manuel Santos

Papers from arXiv.org

Abstract: This paper considers a simulation-based estimator for a general class of Markovian processes and explores some strong consistency properties of the estimator. The estimation problem is defined over a continuum of invariant distributions indexed by a vector of parameters. A key step in the method of proof is to show the uniform convergence (a.s.) of a family of sample distributions over the domain of parameters. This uniform convergence holds under mild continuity and monotonicity conditions on the dynamic process. The estimator is applied to an asset pricing model with technology adoption. A challenge for this model is to generate the observed high volatility of stock markets along with the much lower volatility of other real economic aggregates.

Date: 2010-01
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (3)

Published in Annals of Applied Probability 2010, Vol. 20, No. 1, 196-213

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http://arxiv.org/pdf/1001.2173 Latest version (application/pdf)

Related works:
Working Paper: Consistency Properties of a Simulation-Base Estimator for Dynamic Processes (2007)
Working Paper: Consistency Properties of a Simulation-Based Estimator for Dynamic Processes (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1001.2173

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