Asymptotic theory for linear diffusions under alternative sampling schemes

C-Tier
Journal: Economics Letters
Year: 2015
Volume: 128
Issue: C
Pages: 1-5

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

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

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:128:y:2015:i:c:p:1-5
Journal Field
General
Author Count
2
Added to Database
2026-01-29