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On existence of moment of mean reversion estimator in linear diffusion models
Bao, Yong; Ullah, Aman; Zinde-Walsh, Victoria - In: Economics Letters 120 (2013) 2, pp. 146-148
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.
Persistent link: https://www.econbiz.de/10010678801
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Estimation and testing in a regression model with spherically symmetric errors
Ullah, Aman; Zinde-Walsh, Victoria - In: Economics Letters 17 (1985) 1-2, pp. 127-132
Persistent link: https://www.econbiz.de/10005296627
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The consequences of misspecification in time series processes
Zinde-Walsh, Victoria - In: Economics Letters 32 (1990) 3, pp. 237-241
Persistent link: https://www.econbiz.de/10005355529
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Non- and semi-parametric estimation in models with unknown smoothness
Kotlyarova, Yulia; Zinde-Walsh, Victoria - In: Economics Letters 93 (2006) 3, pp. 379-386
Persistent link: https://www.econbiz.de/10005361677
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On the periodicity of solutions to dynamic problems of costly price adjustment under inflation
Zinde-Walsh, Victoria - In: Economics Letters 23 (1987) 4, pp. 365-369
Persistent link: https://www.econbiz.de/10005257588
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Rejections of orthogonality in rational expectations models : Further Monte Carlo results for an extended set of regressors
Galbraith, John W.; Dolado, Juan; Banerjee, Anindya - In: Economics Letters 25 (1987) 3, pp. 243-247
Persistent link: https://www.econbiz.de/10005288007
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Orthogonality tests with de-trended data : Interpreting Monte-Carlo results using Nagar expansions
Banerjee, Anindya; Dolado, Juan; Galbraith, John W. - In: Economics Letters 32 (1990) 1, pp. 19-24
Persistent link: https://www.econbiz.de/10005175067