Publication Type

Working Paper

Version

publishedVersion

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

SMU Economics and Statistics Working Paper Series, No. 13-2016

City or Country

Singapore

Copyright Owner and License

Authors

Comments

Published in Econometric Theory, Volume 35, Issue 1, February 2019 , pp. 198-231. https://doi.org/10.1017/S0266466618000051

Included in

Econometrics Commons

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