Asymptotic theory for linear diffusions under alternative sampling schemes

DOI10.1016/J.ECONLET.2014.12.015zbMath1321.62151OpenAlexW1988839491MaRDI QIDQ498845

Qiankun Zhou, Jun Yu

Publication date: 29 September 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1620

zbMATH Keywords

Vasicek modelunit root testdouble asymptoticsin-fill asymptoticslong-span asymptotics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Sampling theory, sample surveys (62D05) Economic time series analysis (91B84) Stochastic models in economics (91B70) Diffusion processes (60J60) Non-Markovian processes: hypothesis testing (62M07)

Related Items (10)

Double asymptotics for explosive continuous time models ⋮ Least squares estimation for the drift parameters in the sub-fractional Vasicek processes ⋮ UNIT ROOT TEST WITH HIGH-FREQUENCY DATA ⋮ Volatility estimation and jump detection for drift-diffusion processes ⋮ Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process ⋮ In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time ⋮ New distribution theory for the estimation of structural break point in mean ⋮ Optimal adaptive sampling for a symmetric two-state continuous time Markov chain ⋮ In-fill asymptotic theory for structural break point in autoregressions ⋮ Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process

Cites Work

• Parameter estimation and bias correction for diffusion processes
• Bias in the estimation of the mean reversion parameter in continuous time models
• A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
• Bayesian skepticism on unit root econometrics
• ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS
• A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
• Towards a unified asymptotic theory for autoregression
• The Parameter Inference for Nearly Nonstationary Time Series
• Testing for Common Trends
• Understanding Unit Rooters: A Helicopter Tour
• Time Series Regression with a Unit Root
• An equilibrium characterization of the term structure
• Tests for Unit Roots and the Initial Condition

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