An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions

Yacine Ait-Sahalia and Per A. Mykland

Journal of Econometrics, 2008, vol. 144, issue 1, 1-26

Abstract: We derive closed-form expansions for the asymptotic distribution of Hansen and Scheinkman [1995. Back to the future: generating moment implications for continuous-time Markov processes. Econometrica 63, 767-804] moment estimators for discretely, and possibly randomly, sampled diffusions. This result makes it possible to select optimal moment conditions as well as to assess the efficiency of the resulting parameter estimators relative to likelihood-based estimators, or to an alternative type of moment conditions.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4076(07)00228-X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:144:y:2008:i:1:p:1-26

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().