Back to the future: generating moment implications for continuous-time Markov processes.
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 o...
| Publicado en: | Econometrica Vol. 63; pp. 767 - 805 |
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| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
Wiley-Blackwell
July 1995
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=512641387&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 512641387 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00129682 ECN jtl: Econometrica issn: 00129682 maglogo: N pubinfo: dt: July 1995 vid: 63 pid: 480 pub: Wiley-Blackwell artinfo: ui: 512641387 10.2307/2171800 ppf: 767 ppct: 38 formats: tig: atl: Back to the future: generating moment implications for continuous-time Markov processes. aug: au: Hansen, Lars Peter Scheinkman, José Alexandre su: Markov processes Moments method (Statistics) Time series analysis Interval analysis sug: subj: Markov processes Moments method (Statistics) Time series analysis Interval analysis ab: 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. Reprinted by permission of the Econometric Society. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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