Simulation-based estimation of dynamic models with continuous equilibrium solutions
type: Item
instance of: scholarly article
title: Simulation-based estimation of dynamic models with continuous equilibrium solutions
zbMATH Open document ID: 1088.91050
author: Manuel S. Santos
published in: Journal of Mathematical Economics
publication date: 2004-08-19T00:00:00Z
review text: The author presents a fairly systematic study of consistency properties of some simulation-based estimators for two families of continuous dynamical systems singled out by Dubins and Freedman. The consistency of these estimators for contractive systems has been explored by Duffie and Singleton, and for monotone systems by Santos. The author develops in the paper some analytical methods that improve substantially the consistency results of these two papers. These results are proved under weaker assumptions, and are extended to constrained estimation and to the convergence of estimates from numerical approximations.
Mathematics Subject Classification ID: 91B62
Mathematics Subject Classification ID: 91B82
zbMATH DE Number: 2092970
zbMATH Keywords: continuous dynamical system
zbMATH Keywords: Markov equilibrium
zbMATH Keywords: invariant probability
zbMATH Keywords: simulation-based estimation
zbMATH Keywords: consistency
zbMATH Keywords: random contraction
zbMATH Keywords: random
zbMATH Keywords: monotone process
reviewed by: Marian Matłoka
MaRDI profile type: Publication
full work available at URL: j.jmateco.2003.12.003
OpenAlex ID: W2089309623
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DOI: 10.1016/J.JMATECO.2003.12.003
description: scientific article; zbMATH DE number 2092970