Econometrica Vol. 63 No. 4 1995

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

Lars Peter Hansen^1,2; José Alexandre Scheinkman^1,3,4

¹ National Bureau of Economic Research · ² University of Chicago · ³ Princeton University · ⁴ Columbia University

Abstract

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.

DOI

10.2307/2171800

Volume

63

Issue

4

Pages

767

Sources

bibtex:phds-export.bib openalex crossref

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