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

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  • Hansen, Lars Peter
  • Scheinkman, Jose Alexandre
Abstract
Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. The authors 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. Copyright 1995 by The Econometric Society.

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  • Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
    • Handle: RePEc:ecm:emetrp:v:63:y:1995:i:4:p:767-804
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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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