Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jul, 1995, Volume 63, Issue 4

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

https://doi.org/0012-9682(199507)63:4<767:BTTFGM>2.0.CO;2-N
p. 767-804

Jose Alexandre Scheinkman, Lars Peter Hansen

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.


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