Simulated Moments Estimation of Markov Models of Asset Prices

Darrell Duffie and Kenneth Singleton

No 87, NBER Technical Working Papers from National Bureau of Economic Research, Inc

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.

Date: 1990-03
Note: EFG ME
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Published as econometrica, vol. 61, no. 4. july 1993, 929-952.

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Journal Article: Simulated Moments Estimation of Markov Models of Asset Prices (1993)
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