QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES

Laurence Broze (), Olivier Scaillet and Jean-Michel Zakoian

Econometric Theory, 1998, vol. 14, issue 2, 161-186

Abstract: We discuss an estimation procedure for continuous-time models based on discrete sampled data with a fixed unit of time between two consecutive observations. Because in general the conditional likelihood of the model cannot be derived, an indirect inference procedure following Gouriéroux, Monfort, and Renault (1993, Journal of Applied Econometrics 8, 85–118) is developed. It is based on simulations of a discretized model. We study the asymptotic properties of this “quasi”-indirect estimator and examine some particular cases. Because this method critically depends on simulations, we pay particular attention to the appropriate choice of the simulation step. Finally, finite-sample properties are studied through Monte Carlo experiments.

Date: 1998
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Citations: View citations in EconPapers (23)

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Related works:
Working Paper: Quasi-indirect inference for diffusion processes (1998)
Working Paper: Quasi Indirect Inference for Diffusion Processes (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:14:y:1998:i:02:p:161-186_14

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