Estimation by Simulation of Monotone Dynamical Systems

Manuel Santos

Working Papers from Department of Economics, W. P. Carey School of Business, Arizona State University

Abstract: This paper offers a general proof of consistency for the simulated moments estimator in a parameterized family of stochastic models with monotone dynamics. Models with this monotonicity property are frequently encountered in economic applications. The proof of consistency of the estimator draws upon a uniform law of large numbers over a continuum of invariant distributions indexed by the model’s parameters.

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Working Paper: Estimation by Simulation of Monotone Dynamical Systems (2003)
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