Publication Type
Journal Article
Version
acceptedVersion
Publication Date
9-2015
Abstract
This paper develops the approximate bias of the ordinary least squares estimator of the mean reversion parameter in continuous-time Levy processes. Several cases are considered, depending on whether the long-run mean is known or unknown and whether the initial condition is fixed or random. The approximate bias is used to construct a bias corrected estimator. The performance of the approximate bias and the bias corrected estimator is examined using simulated data.
Keywords
Bias, Mean reversion parameter, Levy processes
Discipline
Econometrics
Research Areas
Econometrics
Publication
Economics Letters
Volume
134
First Page
16
Last Page
19
ISSN
0165-1765
Identifier
10.1016/j.econlet.2015.06.002
Publisher
Elsevier
Citation
BAO, Yong; ULLAH, Aman; WANG, Yun; and YU, Jun.
Bias in the estimation of mean reversion in continuous-time Levy processes. (2015). Economics Letters. 134, 16-19.
Available at: https://ink.library.smu.edu.sg/soe_research/1985
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.econlet.2015.06.002