Efficient estimation for ergodic diffusions sampled at high frequency
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More about this item
KeywordsApproximate martingale estimating functions; discrete time observation of a diffusion; efficiency; Euler approximation; generalized method of moments; optimal estimating function; optimal rate; small delta-optimality;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-06-27 (All new papers)
- NEP-ECM-2008-06-27 (Econometrics)
- NEP-ETS-2008-06-27 (Econometric Time Series)
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