est.VAS.GMM: Generalized method of moments estimator for the Vasicek model

In alejandralopezperez/estsde: Parametric Estimation of SDE

Generalized method of moments estimator for the Vasicek model

Description

Parametric estimation for the Vasicek model using the Generalized Method of Moments. The parametric form of the Vasicek model used here is given by

dX_t = (α - κ X_t)dt + σ dW_t.

Usage

est.VAS.GMM(X, Delta = deltat(X), par = NULL, maxiter = 25)

Arguments

X	a numeric vector, the sample path of the SDE.
Delta	a single numeric, the time step between two consecutive observations.
par	a numeric vector with dimension three indicating initial values of the parameters. Defaults to NULL, fits a linear model as an initial guess.
maxiter	an integer, the maximum number of iterations.

Value

A list containing a matrix with the estimated coefficients and the associated standard errors.

References

Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica, pages 1029–1054.

Examples

x <- rVAS(360, 1/12, 0, 0.08, 0.9, 0.1)
est.VAS.GMM(x)

alejandralopezperez/estsde documentation built on Sept. 4, 2022, 4:48 a.m.