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Journal Article

Simulated Moments Estimation of Markov Models of Asset Prices

Darrell Duffie and Kenneth J. Singleton
Econometrica
Vol. 61, No. 4 (Jul., 1993), pp. 929-952
Published by: The Econometric Society
DOI: 10.2307/2951768
Stable URL: http://www.jstor.org/stable/2951768
Page Count: 24
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Simulated Moments Estimation of Markov Models of Asset Prices
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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 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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