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
Citation
XIAO, Weilin and Jun YU.
Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model. (2016). 1-27.
Available at: https://ink.library.smu.edu.sg/soe_research/1861
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Comments
Published in Econometric Theory, Volume 35, Issue 1, February 2019 , pp. 198-231. https://doi.org/10.1017/S0266466618000051