FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3122053167> ?p ?o ?g. }

• W3122053167 abstract "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 tradeoffs among the regularity conditions underlying the large sample properties of the SME are discussed in the context of an asset-pricing model. THIS PAPER PROVIDES CONDITIONS for the consistency and asymptotic normality of a simulated moments estimator (SME) of the parameters of asset-pricing models with time-homogeneous Markov representations of the stochastic forc- ing process. SME's for economic models have been proposed by McFadden (1989) and Pakes and Pollard (1989) for i.i.d. environments, and by Lee and Ingram (1991) for a time series environment. The SME for time series models examined in this paper is as follows. The state vector Yt that determines asset prices is assumed to follow a time-homogeneous Markov process whose transi- tion function depends on an unknown parameter vector 3)0. Asset prices, and possibly other relevant data, are observed as f(Yt, ,0), for some given function f of the underlying state and parameter vector. In parallel, a simulated state process {Y)} is generated (analytically or numerically) from the economic model and corresponding simulated observations f(YJ3, 13) are taken, for a given parameter choice f3. The parameter , is chosen so as to match moments, that is, to minimize the distance between sample moments of the data, f(Y,8030), and those of the simulated series f(Yt/, f3), in a sense to be made precise. The proposed SME extends the generalized method-of-moments (GMM) estimator (Hansen (1982)) to a large class of asset-pricing models for which the moment restrictions of interest do not have analytic representations in terms of observable variables and the unknown parameter vector. We provide conditions on the transition function of Yt and the observation function f under which the SME of 030 is consistent, and characterize the normalized asymptotic distribu- tion of the estimator. For two reasons, neither the regularity conditions underly- ing Hansen's (1982) analysis of GMM estimators for time-series models without" @default.
• W3122053167 created "2021-02-01" @default.
• W3122053167 creator A5018491512 @default.
• W3122053167 creator A5020421565 @default.
• W3122053167 date "1990-03-01" @default.
• W3122053167 modified "2023-10-10" @default.
• W3122053167 title "Simulated Moments Estimation of Markov Models of Asset Prices" @default.
• W3122053167 cites W1942004503 @default.
• W3122053167 cites W1968172088 @default.
• W3122053167 cites W1978083110 @default.
• W3122053167 cites W1993226008 @default.
• W3122053167 cites W2004247418 @default.
• W3122053167 cites W2005747881 @default.
• W3122053167 cites W2011808626 @default.
• W3122053167 cites W2017273365 @default.
• W3122053167 cites W2019302713 @default.
• W3122053167 cites W2025525633 @default.
• W3122053167 cites W2028995298 @default.
• W3122053167 cites W2038367498 @default.
• W3122053167 cites W2053477402 @default.
• W3122053167 cites W2057701372 @default.
• W3122053167 cites W2087002235 @default.
• W3122053167 cites W2102522565 @default.
• W3122053167 cites W2117178635 @default.
• W3122053167 cites W2312654690 @default.
• W3122053167 cites W2799137445 @default.
• W3122053167 cites W2990862925 @default.
• W3122053167 cites W3124321851 @default.
• W3122053167 cites W3125068246 @default.
• W3122053167 cites W3125217456 @default.
• W3122053167 cites W2496347618 @default.
• W3122053167 doi "https://doi.org/10.3386/t0087" @default.
• W3122053167 hasPublicationYear "1990" @default.
• W3122053167 type Work @default.
• W3122053167 sameAs 3122053167 @default.
• W3122053167 citedByCount "314" @default.
• W3122053167 countsByYear W31220531672012 @default.
• W3122053167 countsByYear W31220531672013 @default.
• W3122053167 countsByYear W31220531672014 @default.
• W3122053167 countsByYear W31220531672015 @default.
• W3122053167 countsByYear W31220531672016 @default.
• W3122053167 countsByYear W31220531672017 @default.
• W3122053167 countsByYear W31220531672018 @default.
• W3122053167 countsByYear W31220531672019 @default.
• W3122053167 countsByYear W31220531672020 @default.
• W3122053167 countsByYear W31220531672021 @default.
• W3122053167 countsByYear W31220531672022 @default.
• W3122053167 countsByYear W31220531672023 @default.
• W3122053167 crossrefType "report" @default.
• W3122053167 hasAuthorship W3122053167A5018491512 @default.
• W3122053167 hasAuthorship W3122053167A5020421565 @default.
• W3122053167 hasBestOaLocation W31220531671 @default.
• W3122053167 hasConcept C105795698 @default.
• W3122053167 hasConcept C149782125 @default.
• W3122053167 hasConcept C159886148 @default.
• W3122053167 hasConcept C162324750 @default.
• W3122053167 hasConcept C163836022 @default.
• W3122053167 hasConcept C187736073 @default.
• W3122053167 hasConcept C33923547 @default.
• W3122053167 hasConcept C38652104 @default.
• W3122053167 hasConcept C41008148 @default.
• W3122053167 hasConcept C76178495 @default.
• W3122053167 hasConcept C96250715 @default.
• W3122053167 hasConcept C98763669 @default.
• W3122053167 hasConceptScore W3122053167C105795698 @default.
• W3122053167 hasConceptScore W3122053167C149782125 @default.
• W3122053167 hasConceptScore W3122053167C159886148 @default.
• W3122053167 hasConceptScore W3122053167C162324750 @default.
• W3122053167 hasConceptScore W3122053167C163836022 @default.
• W3122053167 hasConceptScore W3122053167C187736073 @default.
• W3122053167 hasConceptScore W3122053167C33923547 @default.
• W3122053167 hasConceptScore W3122053167C38652104 @default.
• W3122053167 hasConceptScore W3122053167C41008148 @default.
• W3122053167 hasConceptScore W3122053167C76178495 @default.
• W3122053167 hasConceptScore W3122053167C96250715 @default.
• W3122053167 hasConceptScore W3122053167C98763669 @default.
• W3122053167 hasLocation W31220531671 @default.
• W3122053167 hasLocation W31220531672 @default.
• W3122053167 hasOpenAccess W3122053167 @default.
• W3122053167 hasPrimaryLocation W31220531671 @default.
• W3122053167 hasRelatedWork W1985664346 @default.
• W3122053167 hasRelatedWork W2089656382 @default.
• W3122053167 hasRelatedWork W2130519334 @default.
• W3122053167 hasRelatedWork W2177275963 @default.
• W3122053167 hasRelatedWork W2389529561 @default.
• W3122053167 hasRelatedWork W2393621008 @default.
• W3122053167 hasRelatedWork W2540690809 @default.
• W3122053167 hasRelatedWork W2966874525 @default.
• W3122053167 hasRelatedWork W3126873283 @default.
• W3122053167 hasRelatedWork W4317465184 @default.
• W3122053167 isParatext "false" @default.
• W3122053167 isRetracted "false" @default.
• W3122053167 magId "3122053167" @default.
• W3122053167 workType "report" @default.