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Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes / Lars Peter Hansen, Jose Alexandre Scheinkman.
- Format:
- Book
- Author/Creator:
- Hansen, Lars Peter.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0141.
- NBER technical working paper series no. t0141
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Back to the Future
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1993.
- Summary:
- 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.
- Notes:
- Print version record
- September 1993.
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