Publication Type

Working Paper

Publication Date

9-2016

Abstract

This paper develops the asymptotic theory for the least squares (LS) estimator of the persistent parameter in the fractional Vasicek model when a continuous record of observations is available. The fractional Vasicek model is assumed to be driven by the fractional Brownian motion with a known Hurst parameter greater than or equal to one half. It is shown that the asymptotic properties depend on the sign of the persistent parameter, corresponding to the stationary case, the explosive case and the null recurrent case. The strong consistency and the asymptotic distribution are obtained in all three cases.

Keywords

Least squares estimation, Fractional Vasicek model, Stationary process, Explosive process, Consistency, Asymptotic distribution

Discipline

Econometrics

Research Areas

Econometrics

First Page

1

Last Page

27

Publisher

Singapore Management University, School of Economics, Paper No. 13-2016

City or Country

Singapore

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

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Econometrics Commons

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