Econometrica: Jul 1995, Volume 63, Issue 4

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

https://doi.org/0012-9682(199507)63:4<767:BTTFGM>2.0.CO;2-N
p. 767-804

Jose Alexandre Scheinkman, Lars Peter Hansen

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.

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