When estimating the parameters of a process, researchers have to choose a reference unit of time (unit period). If the unit period is set equal to the sampling interval, then the parameter estimates will not necessarily be comparable across data sets with different sampling frequencies. However,...

The Efficient Method of Moments (EMM) estimator popularized by Gallant and Tauchen (1996) is an indirect inference estimator based on the simulated auxiliary score evaluated at the sample estimate of the auxiliary parameters. We study an alternative estimator that uses the sample auxiliary score...