Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models

Yacine Ait-Sahalia and Joon Y. Park

Journal of Econometrics, 2016, vol. 192, issue 1, 119-138

Abstract: We derive the asymptotic properties of nonparametric estimators of the drift and diffusion functions, and the local time, of a discretely sampled diffusion process that is possibly nonstationary. We provide complete two-dimensional asymptotics in both the time span and the sampling interval, allowing for a precise characterization of their distribution, as well as the determination of optimal bandwidths for these estimators.

Keywords: Kernel estimators; Locally linear estimators; Diffusions; Local time; Nonstationarity (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:192:y:2016:i:1:p:119-138

DOI: 10.1016/j.jeconom.2015.11.002

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