Asymptotic theory for linear diffusions under alternative sampling schemes

DOI10.1016/j.econlet.2014.12.015zbMath1321.62151MaRDI 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 model; unit root test; double asymptotics; in-fill asymptotics; long-span asymptotics

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91G70: Statistical methods; risk measures

62D05: Sampling theory, sample surveys

91B84: Economic time series analysis

91B70: Stochastic models in economics

60J60: Diffusion processes

62M07: Non-Markovian processes: hypothesis testing

Related Items

UNIT ROOT TEST WITH HIGH-FREQUENCY DATA, 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, In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time, Double asymptotics for explosive continuous time models, Least squares estimation for the drift parameters in the sub-fractional Vasicek processes, New distribution theory for the estimation of structural break point in mean, Volatility estimation and jump detection for drift-diffusion processes, Modeling and forecasting realized volatility with the fractional 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