کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5058823 | 1476635 | 2015 | 5 صفحه PDF | دانلود رایگان |
- Discuss three possibilities to make inference about the persistence parameter in diffusion models.
- Develop the in-fill asymptotic distribution for the persistence parameter.
- Show that the in-fill asymptotic distribution gives a more accurate approximation using simulated data.
- Use the in-fill asymptotic distribution for unit root testing using real data.
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.
Journal: Economics Letters - Volume 128, March 2015, Pages 1-5