Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation
AbstractTwo types of Brownian motion functionals, both time-homogeneous and time-inhomogeneous, are expanded in terms of orthonormal bases in respective Hilbert spaces. Meanwhile, different time horizons are treated from the applicability point of view. Moreover, the degrees of approximation of truncation series to the corresponding series are established. An asymptotic theory is established. Both the proposed expansions and asymptotic theory are applied to establish consistent estimators in a class of time series econometric models.
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 19/11.
Length: 60 pages
Date of creation: Sep 2011
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Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-01 (All new papers)
- NEP-ECM-2011-10-01 (Econometrics)
- NEP-ETS-2011-10-01 (Econometric Time Series)
- NEP-UPT-2011-10-01 (Utility Models & Prospect Theory)
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