Simulated Moments Estimator of Markov Models of Asset Prices：（马尔可夫模型的模拟时间估计的资产价格）.pdfVIP

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 Econometrica, Vol. 61, No. 4 (July, 1993), 929-952 SIMULATED MOMENTS ESTIMATION OF MARKOV MODELS OF ASSET PRICES BY DARRELLDUFFIE AND KENNETH J. SINGLETON This paper provides a simulatedmoments estimator(SME) of the parametersof dynamic in models whichthe state vector followsa Markov time-homogeneous process. Conditionsare providedfor both weak and strong consistencyas well as asymptotic normality.Varioustradeoffsamongthe regularityconditionsunderlyingthe largesample propertiesof in of the SME are discussed the context an asset-pricingmodel. KEYWORDS: Monte Carlo simulation, generalized method of moments, geometric ergodicity, uniform strong law of large numbers, model estimation. 1. INTRODUCTION THISPAPER PROVIDES CONDITIONS for the consistency and asymptotic normality of a simulated moments estimator(SME) of the parametersof asset-pricing modelswith Markov of the stochasticforc- time-homogeneous representations ing process. SMEs for economic models have been proposed by McFadden (1989) and Pakes and Pollard (1989) for i.i.d. environments,and by Lee and Ingra