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.
