The LASSO is a widely used statistical methodology for simultaneous estimation and variable selection. In the last years, many authors analyzed this technique from a theoretical and applied point of view. We introduce and study the adaptive LASSO problem for discretely observed ergodic diffusion...

This paper develops a quasi-maximum likelihood (QML) procedure for estimating the parameters of multi-dimensional stochastic differential equations. The transitional density is taken to be a time-varying multivariate Gaussian where the first two moments of the distribution are approximately the...

We consider a continuous-time neoclassical one-sector stochastic growth model of Ramsey-type with CRRA utility and Cobb-Douglas technology, where each of the following components are exposed to exogeneous uncertainties (shocks): capital stock K, effectiveness of labor A, and labor force L; the...

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...

In light of the recent financial and real economic crisis, it seems clear that macroeconomists need to better account for the influence of financial markets. This paper explores the consequences of treating the interaction between different financial markets, monetary policy, and the real...

Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical solution of the pertinent Fokker–Planck (FP) or...

We describe a method of approximation of strong solutions to Stratonovich differential equations, that depends only on the Brownian motion defining the equation. h being the step size, it is known that the order of convergence of such approximations is h in the general case, and of h in some...

We propose a method for the simultaneous estimation of the drift and diffusion coefficients of stochastic differential equations (SDE) from panel data. The method involves matching the distribution of the experimental/field data with a panel of simulated data generated by a Monte Carlo...