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Journal of Econometrics 144 (2008) 126 An analysis of HansenScheinkman moment estimators

Summary: Journal of Econometrics 144 (2008) 1≠26
An analysis of Hansen≠Scheinkman moment estimators
for discretely and randomly sampled diffusions
Yacine Ai®t-Sahaliaa,√, Per A. Myklandb,1
Department of Economics, Princeton University and NBER, Princeton, NJ 08544-1021, USA
Department of Statistics, The University of Chicago, Chicago, IL 60637-1514, USA
Available online 8 February 2008
We derive closed-form expansions for the asymptotic distribution of Hansen and Scheinkman [1995. Back to the future:
generating moment implications for continuous-time Markov processes. Econometrica 63, 767≠804] moment estimators
for discretely, and possibly randomly, sampled diffusions. This result makes it possible to select optimal moment
conditions as well as to assess the efficiency of the resulting parameter estimators relative to likelihood-based estimators, or
to an alternative type of moment conditions.
r 2007 Elsevier B.V. All rights reserved.
JEL classification: C22
Keywords: Diffusions; Discrete sampling; Random sampling; Moment conditions; Efficiency
1. Introduction
Hansen and Scheinkman (1995) (HS thereafter) derived moment conditions for estimating the parameters


Source: AÔt-Sahalia, Yacine - Program in Applied and Comptutational Mathematics & Department of Economics, Princeton University


Collections: Mathematics