Leitura do Dia - Quasi-Indirect Inference for Difussion Process

QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES
LAURENCE BROZE
Gremars, Université de Lille 3
and
CORE
OLIVIER SCAILLET
Université Catholique de Louvain
JEAN-MICHEL ZAKOÏAN
Université de Lille 1
and
CREST

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.

Apesar da idéia de inferência indireta ser relativamente simples (obter o viés de um estimador por simulação e depois corrigir o viés), a implementação para modelos complicados está longe de ser simples. Estou brigando para ter uma implementação eficiente para meu artigo, e finalmente agora parece estar funcionando.