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Quasi-indirect inference for diffusion processes

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  • BROZE, Laurence
  • SCAILLET, Olivier
  • ZAKOIAN, Jean-Michel

Abstract

We present an estimation procedure for continuous time models based on discrete sampled data with a fixed unit of time between two observations. Since in general the conditional likelihood of the model cannot be derived an indirect inference procedure based on simulations of a discretized model is proposed. Asymptotic properties of this quasi indirect estimator are given and some particular cases are examined. Finite sample properties are also considered through Monte Carlo experiments. We also examine the problem of the choice of an appropriate simulation step.

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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers RP with number -1327.

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Handle: RePEc:cor:louvrp:-1327

Note: In : Econometric Theory, 14, 161-186, 1998
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