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Type: Artigo
Title: Generalized Moment Estimation Of Stochastic Differential Equations
Author: Laurini
Marcio Poletti; Hotta
Luiz Koodi
Abstract: We study the semiparametric estimation of stochastic differential equations employing methods based on moment conditions, comparing the finite sample and robustness properties of generalized method of moments, empirical likelihood and minimum contrast methods using unconditional and conditional formulations of moment conditions. The results obtained indicate that the estimators proposed, particularly, the estimators based on exponential tilting, obtain better results than those of the generalized methods of moments normally used to estimate stochastic differential equations. This conclusion is mainly derived from the robustness properties of this method in the presence of problems of incorrect specification.
Subject: Moment Conditions
Empirical Likelihood
Generalized Minimum Contrast
Exponential Tilting
Editor: Springer Heidelberg
Rights: fechado
Identifier DOI: 10.1007/s00180-015-0598-2
Date Issue: 2016
Appears in Collections:Unicamp - Artigos e Outros Documentos

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