Estimation of Parameters of the Ornstein-Uhlenbeck Type Processes with Continuum of Moment Conditions

Yinfeng Wang, Yanlin Tang and Xinsheng Zhang

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 24, 5189-5203

Abstract: In this article, we develop a new method of parametric estimation for process of Ornstein-Uhlenbeck type. The proposed method is based on GMM with a continuum of moment conditions (CGMM), which is introduced in Carrasco and Florens (2002), and the estimator is called the CGMM estimator. We show that this CGMM estimator has consistency and asymptotic normality. Simulation studies evidence that the proposed method performs quite well in small-sample cases.

Date: 2015
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DOI: 10.1080/03610926.2013.804570

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