Publication Type

Journal Article

Version

acceptedVersion

Publication Date

2-2019

Abstract

This article develops an asymptotic theory for estimators of two parameters in the drift function in the fractional Vasicek model when a continuous record of observations is available. The fractional Vasicek model with long-range dependence is assumed to be driven by a fractional Brownian motion with the Hurst parameter greater than or equal to one half. It is shown that, when the Hurst parameter is known, the asymptotic theory for the persistence parameter depends critically on its sign, corresponding asymptotically to the stationary case, the explosive case, and the null recurrent case. In all three cases, the least squares method is considered, and strong consistency and the asymptotic distribution are obtained. When the persistence parameter is positive, the estimation method of Hu and Nualart (2010) is also considered.

Keywords

Least squares, Fractional Vasicek model, Stationary process, Explosive process, Null recurrent, Strong consistency, Asymptotic distribution

Discipline

Econometrics

Research Areas

Econometrics

Publication

Econometric Theory

Volume

35

Issue

1

First Page

198

Last Page

231

ISSN

0266-4666

Identifier

10.1017/S0266466618000051

Publisher

Cambridge University Press

Copyright Owner and License

Authors

Additional URL

https://doi.org/10.1017/S0266466618000051

Included in

Econometrics Commons

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