Publication Type
Journal Article
Version
publishedVersion
Publication Date
3-2015
Abstract
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.
Keywords
Vasicek model, In-fill asymptotics, Long-span asymptotics, Double asymptotics, Unit root test
Discipline
Econometrics | Economics
Research Areas
Econometrics
Publication
Economic Letters
Volume
128
First Page
1
Last Page
5
ISSN
0165-1765
Identifier
10.1016/j.econlet.2014.12.015
Publisher
Elsevier
Citation
ZHOU, Qiankun and YU, Jun.
Asymptotic Theory for Linear Diffusions under Alternative Sampling Scheme. (2015). Economic Letters. 128, 1-5.
Available at: https://ink.library.smu.edu.sg/soe_research/1620
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.2014.12.015