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
Citation
XIAO, Weilin and YU, Jun.
Asymptotic theory for estimating drift parameters in the fractional Vasicek model. (2019). Econometric Theory. 35, (1), 198-231.
Available at: https://ink.library.smu.edu.sg/soe_research/2253
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.
Additional URL
https://doi.org/10.1017/S0266466618000051