A simple approach to the parametric estimation of potentially nonstationary diffusions

DOI10.1016/j.jeconom.2005.06.033zbMath1360.62443OpenAlexW2024393024MaRDI QIDQ276917

Peter C. B. Phillips, Federico M. Bandi

Publication date: 4 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/281

zbMATH Keywords

diffusionstochastic differential equationlocal timedriftparametric estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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