A simple approach to the parametric estimation of potentially nonstationary diffusions

Journal of Econometrics

Volumn 137, Issue 2, 2007, Pages 354-395

  Bandi, Federico M ^a   Phillips, Peter C B ^b  

^a UNIVERSITY OF CHICAGO   (United States)

^b YALE UNIVERSITY   (United States)

Author keywords

Diffusion; Drift; Local time; Parametric estimation; Stochastic differential equation

Indexed keywords

ASYMPTOTIC STABILITY; DIFFERENTIAL EQUATIONS; FUNCTION EVALUATION; OPTIMIZATION; PARAMETER ESTIMATION; RANDOM PROCESSES;

ASYMPTOTIC THEORY; DIFFUSION FUNCTIONS; DRIFT; LEAST SQUARES METHODS; STOCHASTIC DIFFERENTIAL EQUATIONS;

DIFFUSION;

EID: 33847196726     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.06.033     Document Type: Article

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