Abstract
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.
Original language | English (US) |
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Pages (from-to) | 1-26 |
Number of pages | 26 |
Journal | Journal of Econometrics |
Volume | 144 |
Issue number | 1 |
DOIs | |
State | Published - May 2008 |
All Science Journal Classification (ASJC) codes
- Economics and Econometrics
Keywords
- Diffusions
- Discrete sampling
- Efficiency
- Moment conditions
- Random sampling