QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES
1998; Cambridge University Press; Volume: 14; Issue: 2 Linguagem: Inglês
10.1017/s0266466698142019
ISSN1469-4360
AutoresLaurence Broze, Olivier Scaillet, Jean‐Michel Zakoïan,
Tópico(s)Statistical Methods and Inference
ResumoWe discuss an estimation procedure for continuous-time models based on discrete sampled data with a fixed unit of time between two consecutive observations. Because in general the conditional likelihood of the model cannot be derived, an indirect inference procedure following Gouriéroux, Monfort, and Renault (1993, Journal of Applied Econometrics 8, 85–118) is developed. It is based on simulations of a discretized model. We study the asymptotic properties of this “quasi”-indirect estimator and examine some particular cases. Because this method critically depends on simulations, we pay particular attention to the appropriate choice of the simulation step. Finally, finite-sample properties are studied through Monte Carlo experiments.
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