Author:
Broze Laurence,Scaillet Olivier,Zakoïan Jean-Michel
Abstract
We discuss an estimation procedure for continuous-time
models based on discrete sampled data with a fixed unit
of time between two consecutive observations. Because in
general the conditional likelihood of the model cannot
be derived, an indirect inference procedure following Gouriéroux,
Monfort, and Renault (1993, Journal of Applied Econometrics
8, 85–118) is developed. It is based on simulations
of a discretized model. We study the asymptotic properties
of this “quasi”-indirect estimator and examine
some particular cases. Because this method critically depends
on simulations, we pay particular attention to the appropriate
choice of the simulation step. Finally, finite-sample properties
are studied through Monte Carlo experiments.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
33 articles.
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