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

Lars Hansen and Jose Scheinkman

No 141, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. We 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.

JEL-codes: C1 (search for similar items in EconPapers)
Date: 1993-09
Note: AP
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Citations: View citations in EconPapers (35)

Published as Hansen, Lars Peter and Jose Alexandre Scheinkman. "Back To The Future: Generating Moment Implications For Continuous-Time Markov Processes," Econometrica, 1995, v63(4), 767-804.

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Journal Article: Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes (1995)
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