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Author: Geweke, John
Resulting in 1 citation.
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Geweke, John Marshall, Robert C. Zarkin, Gary A. |
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Mobility Indices in Continuous Time Markov Chains Econometrica 54,6 (November 1986): 1407-1423. Also: http://www.jstor.org/stable/1914306 Cohort(s): Young Men Publisher: Department of Economics, Northwestern University Keyword(s): Markov chain / Markov model; Mobility; Research Methodology; Statistical Analysis Permission to reprint the abstract has not been received from the publisher. The axiomatic derivation of mobility indices for first-order Markov chain models in discrete time is extended to continuous-time models. Many of the logical inconsistencies among axioms noted in the literature for the discrete time models do not arise for continuous time models. It is shown how mobility indices in continuous time Markov chains may be estimated from observations at two points in time. Specific attention is given to the case in which the states are fractiles, and an empirical example is given. |
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Bibliography Citation
Geweke, John, Robert C. Marshall and Gary A. Zarkin. "Mobility Indices in Continuous Time Markov Chains." Econometrica 54,6 (November 1986): 1407-1423.
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