An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions
We derive closed-form expansions for the asymptotic distribution of Hansen and Scheinkman [1995. Back to the future: generating moment implications for continuous-time Markov processes. Econometrica 63, 767-804] moment estimators for discretely, and possibly randomly, sampled diffusions. This result makes it possible to select optimal moment conditions as well as to assess the efficiency of the resulting parameter estimators relative to likelihood-based estimators, or to an alternative type of moment conditions.
Year of publication: |
2008
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Authors: | Aït-Sahalia, Yacine ; Mykland, Per A. |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 144.2008, 1, p. 1-26
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Publisher: |
Elsevier |
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