| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0087 |
| 来源ID | Technical Working Paper 0087 |
| Simulated Moments Estimation of Markov Models of Asset Prices | |
| Darrell Duffie; Kenneth J. Singleton | |
| 发表日期 | 1990-03-01 |
| 出版年 | 1990 |
| 语种 | 英语 |
| 摘要 | 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 tradeoff's among the regularity conditions underlying the large sample properties of the SME are discussed in the context of an asset pricing model. |
| 主题 | Econometrics |
| URL | https://www.nber.org/papers/t0087 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560560 |
| 推荐引用方式 GB/T 7714 | Darrell Duffie,Kenneth J. Singleton. Simulated Moments Estimation of Markov Models of Asset Prices. 1990. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0087.pdf（3334KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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