Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096954 | Journal of Econometrics | 2010 | 21 Pages |
Abstract
Two classes of semiparametric diffusion models are considered, where either the drift or the diffusion term is parameterized, while the other term is left unspecified. We propose a pseudo-maximum likelihood estimator (PMLE) of the parametric component that maximizes the likelihood with a preliminary estimator of the unspecified term plugged in. It is demonstrated how models and estimators can be used in a two-step specification testing strategy of semiparametric and fully parametric models, and shown that approximate/simulated versions of the PMLE inherit the properties of the actual but infeasible estimator. A simulation study investigates the finite sample performance of the PMLE.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Dennis Kristensen,