On existence of moment of mean reversion estimator in linear diffusion models

Yong Bao, Aman Ullah and Victoria Zinde-Walsh

Economics Letters, 2013, vol. 120, issue 2, 146-148

Abstract: In this note it is shown that the expectation of the usual MLE estimator of the mean-reversion parameter in linear diffusion models does not exist. However, the moment does exist conditionally on the estimator of the autoregressive parameter in the discretized model being positive.

Keywords: Expectation; Mean-reversion parameter; MLE (search for similar items in EconPapers)
JEL-codes: C22 C58 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:120:y:2013:i:2:p:146-148

DOI: 10.1016/j.econlet.2013.04.024

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