Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models

Journal of Econometrics

Volumn 156, Issue 2, 2010, Pages 239-259

  Kristensen, Dennis ^a,b  

^a Columbia University ^*  (United States)

^b AARHUS UNIVERSITY   (Denmark)

Author keywords

Diffusion process; Kernel estimation; Pseudo likelihood; Semiparametric; Testing

Indexed keywords

DIFFUSION MODEL; DIFFUSION PROCESS; FINITE SAMPLE PERFORMANCE; KERNEL ESTIMATION; MAXIMUM LIKELIHOOD ESTIMATOR; PARAMETERIZED; PARAMETRIC COMPONENTS; PARAMETRIC MODELS; PSEUDO-LIKELIHOOD; SEMIPARAMETRIC; SIMULATION STUDIES; SPECIFICATION TESTING;

DIFFUSION; ESTIMATION; SAMPLING;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 77950516193     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.10.017     Document Type: Article

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