Indirect Estimation of Stochastic Differential Equation Models: Some Computational Experiments
In this paper we consider the estimation of some stochastic differential equation models by an indirect estimation method proposed by Gourieroux, Monfort and Renault (1993) using discrete data. The performance of this method is analysed via Monte Carlo experiments. In particular, we examine the Vasicek and the Cox, Ingersoll and Ross models used in financial economics and a system of three stochastic differential equations proposed by P.C.B. Phillips in 1972. These results show the ability of indirect estimation to remove the bias resulting from the discretisation of the continuous model. Citation Copyright 1996 by Kluwer Academic Publishers.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 9 (1996)
Issue (Month): 3 (August)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/economics/economic+theory/journal/10614/PS2|