On Existence of Moment of Mean Reversion Estimator in Linear Diffusion Models

In this note it is shown that the expectation of the usual MLE estimator of the mean-reversion parameter in linear diffusion models does not exist. However, the moment does exist conditionally on the estimator of the autoregressive parameter in the discretized model being positive

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Year of publication:	2016
Authors:	Bao, Yong
Other Persons:	Ullah, Aman (contributor) ; Zinde‐Walsh, Victoria (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Innovationsdiffusion \| Innovation diffusion \| Mean Reversion \| Mean reversion
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, 2013, vol. 120 (2), 146-148 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 25, 2013 erstellt Volltext nicht verfügbar
Classification:	C22 - Time-Series Models ; c58
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012998097