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

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  • Lars Peter Hansen
  • Jose Alexandre Scheinkman

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.

Suggested Citation

  • Lars Peter Hansen & Jose Alexandre Scheinkman, 1993. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," NBER Technical Working Papers 0141, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberte:0141
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    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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