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...

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Bibliographic Details

Published in:	Econometrica Vol. 63; pp. 767 - 805
Main Authors:	Hansen, Lars Peter, Scheinkman, José Alexandre
Format:	Article
Published:	Wiley-Blackwell July 1995
Subjects:	Markov processes Moments method (Statistics) Time series analysis Interval analysis
Online Access:	View this record in EBSCOhost