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

被引：6

作者：

Ait-Sahalia, Yacine ^{[1
,2
]}

Mykand, Per A. ^{[3
]}

机构：

[1] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA

[2] NBER, Princeton, NJ 08544 USA

[3] Univ Chicago, Dept Stat, Chicago, IL 60637 USA

来源：

JOURNAL OF ECONOMETRICS | 2008年 / 144卷 / 01期

基金：

美国国家科学基金会;

关键词：

diffusions; discrete sampling; random sampling; moment conditions; efficiency;

D O I：

10.1016/j.jeconom.2007.11.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：1 / 26

页数：26