Asymptotic Theory for Linear Diffusions under Alternative Sampling Scheme

Asymptotic Theory for Linear Diffusions under Alternative Sampling Scheme

The asymptotic distributions of the maximum likelihood estimator of the persistence parameter are developed in a linear diffusion model under three sampling schemes, long-span, in-fill and double. Simulations suggest that the in-fill asymptotic distribution gives a more accurate approximation to the...

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Bibliographic Details
Main Authors: ZHOU, Qiankun, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
Vasicek model
In-fill asymptotics
Long-span asymptotics
Double asymptotics
Unit root test
Econometrics
Economics
Online Access:https://ink.library.smu.edu.sg/soe_research/1620
https://ink.library.smu.edu.sg/context/soe_research/article/2619/viewcontent/Yu_EL_2015_a.pdf
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Institution: Singapore Management University
Language: English
Description
Summary:The asymptotic distributions of the maximum likelihood estimator of the persistence parameter are developed in a linear diffusion model under three sampling schemes, long-span, in-fill and double. Simulations suggest that the in-fill asymptotic distribution gives a more accurate approximation to the finite sample distribution than the other two distributions. An empirical application highlights the difference in unit root testing based on the alternative asymptotic distributions.

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