{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,1,9]],"date-time":"2024-01-09T21:26:52Z","timestamp":1704835612370},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[1998,4,1]],"date-time":"1998-04-01T00:00:00Z","timestamp":891388800000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1998,4]]},"abstract":"<jats:p>We discuss an estimation procedure for continuous-time \nmodels based on discrete sampled data with a fixed unit \nof time between two consecutive observations. Because in \ngeneral the conditional likelihood of the model cannot \nbe derived, an indirect inference procedure following Gouri\u00e9roux, \nMonfort, and Renault (1993, <jats:italic>Journal of Applied Econometrics<\/jats:italic> \n8, 85\u2013118) is developed. It is based on simulations \nof a discretized model. We study the asymptotic properties \nof this \u201cquasi\u201d-indirect estimator and examine \nsome particular cases. Because this method critically depends \non simulations, we pay particular attention to the appropriate \nchoice of the simulation step. Finally, finite-sample properties \nare studied through Monte Carlo experiments.<\/jats:p>","DOI":"10.1017\/s0266466698142019","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T13:45:46Z","timestamp":1027777546000},"page":"161-186","source":"Crossref","is-referenced-by-count":32,"title":["QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES"],"prefix":"10.1017","volume":"14","author":[{"given":"Laurence","family":"Broze","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Olivier","family":"Scaillet","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jean-Michel","family":"Zako\u00efan","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[1998,4,1]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466698142019","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,3,29]],"date-time":"2019-03-29T19:38:10Z","timestamp":1553888290000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466698142019\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1998,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1998,4]]}},"alternative-id":["S0266466698142019"],"URL":"https:\/\/doi.org\/10.1017\/s0266466698142019","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1998,4]]}}}