Asymptotic theory for linear diffusions under alternative sampling schemes
2015
Zhou, Qiankun | Yu, Jun
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.
Показать больше [+] Меньше [-]Ключевые слова АГРОВОК
Библиографическая информация
Эту запись предоставил National Agricultural Library
