Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data
In this paper, we consider the parametric estimation problem for continuous time stochastic processes described by general first-order nonlinear stochastic differential equations of the Ito type. We characterize the likelihood function of a discretely-sampled set of observations as the solution to a functional partial differential equation. The consistency and asymptotic normality of the maximum likelihood estimators are explored, and several illustrative examples are provided.
|Date of creation:||Aug 1986|
|Date of revision:|
|Publication status:||published as Econometric Theory, vol. 4, 1988, pp. 231-247|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Phillips, P C B, 1972. "The Structural Estimation of a Stochastic Differential Equation System," Econometrica, Econometric Society, vol. 40(6), pages 1021-41, November.
- Harvey, A. C. & Stock, James H., 1985. "The Estimation of Higher-Order Continuous Time Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 1(01), pages 97-117, April.
- Sanford J. Grossman & Angelo Melino & Robert J. Shiller, 1985.
"Estimating the Continuous Time Consumption Based Asset Pricing Model,"
NBER Working Papers
1643, National Bureau of Economic Research, Inc.
- Grossman, S J & Melino, Angelo & Shiller, Robert J, 1987. "Estimating the Continuous-Time Consumption-Based Asset-Pricing Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(3), pages 315-27, July.
- Pierre Perron & Robert J. Shiller, 1984.
"Testing the Random Walk Hypothesis: Power Versus Frequency of Observation,"
Cowles Foundation Discussion Papers
732, Cowles Foundation for Research in Economics, Yale University.
- Shiller, Robert J. & Perron, Pierre, 1985. "Testing the random walk hypothesis : Power versus frequency of observation," Economics Letters, Elsevier, vol. 18(4), pages 381-386.
- Robert J. Shiller & Pierre Perron, 1985. "Testing the Random Walk Hypothesis: Power versus Frequency of Observation," NBER Technical Working Papers 0045, National Bureau of Economic Research, Inc.
- Ball, Clifford A & Torous, Walter N, 1985. " On Jumps in Common Stock Prices and Their Impact on Call Option Pricing," Journal of Finance, American Finance Association, vol. 40(1), pages 155-73, March.
- Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis.
- Sims, Christopher A, 1971. "Discrete Approximations to Continuous Time Distributed Lags in Econometrics," Econometrica, Econometric Society, vol. 39(3), pages 545-63, May.
- Abel, Andrew B, 1983. "Optimal Investment under Uncertainty," American Economic Review, American Economic Association, vol. 73(1), pages 228-33, March.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Harrison, J Michael & Pitbladdo, Richard & Schaefer, Stephen M, 1984. "Continuous Price Processes in Frictionless Markets Have Infinite Variation," The Journal of Business, University of Chicago Press, vol. 57(3), pages 353-65, July.
- Marsh, Terry A & Rosenfeld, Eric R, 1983. " Stochastic Processes for Interest Rates and Equilibrium Bond Prices," Journal of Finance, American Finance Association, vol. 38(2), pages 635-46, May.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-84, March.
When requesting a correction, please mention this item's handle: RePEc:nbr:nberte:0059. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.