Asymptotic theory for linear diffusions under alternative sampling schemes

Qiankun Zhou and Jun Yu

Economics Letters, 2015, vol. 128, issue C, 1-5

Abstract: The asymptotic distributions of the maximum likelihood estimator of the persistence parameter are developed in a linear diffusion model under three sampling schemes, long-span, in-fill and double. Simulations suggest that the in-fill asymptotic distribution gives a more accurate approximation to the finite sample distribution than the other two distributions. An empirical application highlights the difference in unit root testing based on the alternative asymptotic distributions.

Keywords: Vasicek model; In-fill asymptotics; Long-span asymptotics; Double asymptotics; Unit root test (search for similar items in EconPapers)
JEL-codes: C12 C22 G12 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:128:y:2015:i:c:p:1-5

DOI: 10.1016/j.econlet.2014.12.015

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