Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 2 of 2
Full-Text Articles in Entire DC Network
Maximum Likelihood Estimation For The Fractional Vasicek Model, Katsuto Tanaka, Weilin Xiao, Jun Yu
Maximum Likelihood Estimation For The Fractional Vasicek Model, Katsuto Tanaka, Weilin Xiao, Jun Yu
Research Collection School Of Economics
This paper estimates the drift parameters in the fractional Vasicek model from a continuous record of observations via maximum likelihood (ML). The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive case, and the boundary case for the entire range of the Hurst parameter, providing a complete treatment of asymptotic analysis. It is shown that changing the sign of the persistence parameter changes the asymptotic theory for the MLE, including the rate of convergence and the limiting distribution. It is also found that the asymptotic theory depends on the value of the Hurst parameter.
Local Powers Of Least-Squares-Based Test For Panel Fractional Ornstein-Uhlenbeck Process, Katsuto Tanaka, Weilin Xiao, Jun Yu
Local Powers Of Least-Squares-Based Test For Panel Fractional Ornstein-Uhlenbeck Process, Katsuto Tanaka, Weilin Xiao, Jun Yu
Research Collection School Of Economics
Based on the least squares estimator, this paper proposes a novel method to test the sign of the persistence parameter in a panel fractional Ornstein-Uhlenbeck process with a known Hurst parameter H. Depending on H ∈ (1/2, 1), H = 1/2, or H ∈ (0, 1/2), three test statistics are considered. In the null hypothesis the persistence parameter is zero. Based on a panel of continuous record of observations, the null asymptotic distributions are obtained when T is fixed and N is assumed to go to infinity, where T is the time span of the sample and N is the …