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) |
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Pages (from-to) | 465-491 |
Number of pages | 27 |
Journal | Journal of Mathematical Economics |
Volume | 40 |
Issue number | 3-4 |
DOIs | |
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