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Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
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Journal Article
Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
1995
Overview
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.
Publisher
Econometric Society,Blackwell,George Banta Pub. Co. for the Econometric Society,Blackwell Publishing Ltd
