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Simulated Likelihood Estimation of Non-Linear Diffusion Processes Through Non-Parametric Procedure With an Application to the Portuguese Interest Rate
1999
Authors
João Nicolau
Publication Year
1999
JEL Code
C13 - Estimation
C14 - Semiparametric and Nonparametric Methods
C15 - Statistical Simulation Methods; Monte Carlo Methods
C22 - Time-Series Models
Abstract
In this article we present a new model of the spot interest rate and a new method of estimation of nonlinear stochastic differential equations. We show how an integrated discrete time process in an econometric sense can be modelled by a continuous time ergodic process. We make an application to the Portuguese spot interest rate.
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