Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
展示如何利用连续时间马尔可夫过程的生成元构造矩条件，并基于离散时间抽样数据构建广义矩估计量和检验，适用于经济金融中的连续时间模型估计。
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.