Simulation-based estimation of dynamic models with continuous equilibrium solutions

Manuel S. Santos

doi:10.1016/j.jmateco.2003.12.003

Simulation-based estimation of dynamic models with continuous equilibrium solutions

Manuel S. Santos

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

This paper presents several results on consistency properties of simulation-based estimators for a general class of dynamic models with continuous laws of motion. The consistency of these estimators follows from a uniform convergence property of the model's sample paths over the vector of parameters. This convergence property is established under either contractivity or monotonicity conditions on the dynamics of the system.

Original language	English (US)
Pages (from-to)	465-491
Number of pages	27
Journal	Journal of Mathematical Economics
Volume	40
Issue number	3-4
DOIs	https://doi.org/10.1016/j.jmateco.2003.12.003
State	Published - Jun 2004
Externally published	Yes

Keywords

Consistency
Continuous dynamical system
Invariant probability
Markov equilibrium
Random contraction
Random monotone process
Simulation-based estimation

ASJC Scopus subject areas

Economics and Econometrics
Applied Mathematics

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title = "Simulation-based estimation of dynamic models with continuous equilibrium solutions",

abstract = "This paper presents several results on consistency properties of simulation-based estimators for a general class of dynamic models with continuous laws of motion. The consistency of these estimators follows from a uniform convergence property of the model's sample paths over the vector of parameters. This convergence property is established under either contractivity or monotonicity conditions on the dynamics of the system.",

keywords = "Consistency, Continuous dynamical system, Invariant probability, Markov equilibrium, Random contraction, Random monotone process, Simulation-based estimation",

author = "Santos, {Manuel S.}",

note = "Funding Information: I am grateful to Frank Schorfheide for some helpful remarks. I have also benefitted from several discussions with participants at the macro workshop of Universidad Carlos III de Madrid. This research was partially supported by the Spanish Ministerio de Ciencia y Tecnologia, project no. SEC 2002-004318. ",

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doi = "10.1016/j.jmateco.2003.12.003",

language = "English (US)",

volume = "40",

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journal = "Journal of Mathematical Economics",

issn = "0304-4068",

publisher = "Elsevier",

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T1 - Simulation-based estimation of dynamic models with continuous equilibrium solutions

AU - Santos, Manuel S.

N1 - Funding Information: I am grateful to Frank Schorfheide for some helpful remarks. I have also benefitted from several discussions with participants at the macro workshop of Universidad Carlos III de Madrid. This research was partially supported by the Spanish Ministerio de Ciencia y Tecnologia, project no. SEC 2002-004318.

PY - 2004/6

Y1 - 2004/6

N2 - This paper presents several results on consistency properties of simulation-based estimators for a general class of dynamic models with continuous laws of motion. The consistency of these estimators follows from a uniform convergence property of the model's sample paths over the vector of parameters. This convergence property is established under either contractivity or monotonicity conditions on the dynamics of the system.

AB - This paper presents several results on consistency properties of simulation-based estimators for a general class of dynamic models with continuous laws of motion. The consistency of these estimators follows from a uniform convergence property of the model's sample paths over the vector of parameters. This convergence property is established under either contractivity or monotonicity conditions on the dynamics of the system.

KW - Consistency

KW - Continuous dynamical system

KW - Invariant probability

KW - Markov equilibrium

KW - Random contraction

KW - Random monotone process

KW - Simulation-based estimation

UR - http://www.scopus.com/inward/record.url?scp=1842449647&partnerID=8YFLogxK

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U2 - 10.1016/j.jmateco.2003.12.003

DO - 10.1016/j.jmateco.2003.12.003

M3 - Article

AN - SCOPUS:1842449647

VL - 40

SP - 465

EP - 491

JO - Journal of Mathematical Economics

JF - Journal of Mathematical Economics

SN - 0304-4068

IS - 3-4

ER -

Simulation-based estimation of dynamic models with continuous equilibrium solutions

Abstract

Keywords

ASJC Scopus subject areas

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