Econometrica: Jul 1993, Volume 61, Issue 4

Simulated Moments Estimation of Markov Models of Asset Prices<929:SMEOMM>2.0.CO;2-P
p. 929-952

Darrell Duffie, Kenneth J. Singleton

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 tradeoffs among the regularity conditions underlying the large sample properties of the SME are discussed in the context of an asset-pricing model.

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