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.

MoreLess

Year of publication:	2013
Authors:	Bao, Yong ; Ullah, Aman ; Zinde-Walsh, Victoria
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 120.2013, 2, p. 146-148
Publisher:	Elsevier
Subject:	Expectation \| Mean-reversion parameter \| MLE

More details

Type of publication:	Article
Classification:	C22 - Time-Series Models ; c58
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010678801