Asymptotic Theory for Linear Diffusions under Alternative Sampling Scheme

• 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
• Institution: Singapore Management University

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.