Ullah, Aman; Bao, Yong; Wang, Yun - Department of Economics, University of California-Riverside - 2014
Econometricians have recently been interested in estimating and testing the mean reversion parameter (κ) in linear diffusion models. It has been documented that the maximum likelihood estimator (MLE) of κ tends to over estimate the true value. Its asymptotic distribution, on the other...