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BIAS REDUCTION IN NONPARAMETRIC DIFFUSION COEFFICIENT ESTIMATION
Category: Econometrics
SEMI- AND NON-PARAMETRIC METHODS II
Monday 26th August 2002, 09:30 - 11:00, Room: 1.1
Session Chair(s):
João Nicolau, Universidade Técnica Lisboa - ISEG, PORTUGAL
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Abstract:
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In this article, we quantify the asymptotic bias of the Florens-Zmirou (1993) and Jiang and Knight (1997) estimator for the diffusion coefficient when the step of discretization is fixed and then we propose a bias adjustment that partially compensates the distortion. Also, we show that our estimators have all the asymptotic properties of the Florens-Zmirou and Jiang and Knight estimator when the step of discretization goes to zero. We provide some examples.
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Find this file in the
\Papers\1164\
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