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

C-Tier
Journal: Economics Letters
Year: 2013
Volume: 120
Issue: 2
Pages: 146-148

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:120:y:2013:i:2:p:146-148
Journal Field
General
Author Count
3
Added to Database
2026-01-24