Journal
JOURNAL OF ECONOMETRICS
Volume 196, Issue 1, Pages 37-54Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2015.12.019
Keywords
Diffusion; Positive and null recurrences; Asymptotics; Limit distribution; Continuous time regression
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Funding
- National Research Foundation of Korea (NRF) grant - Korea government (MEST) [2013S1A5A2A01018558]
- National Research Foundation of Korea [2013S1A5A2A01018558] Funding Source: Korea Institute of Science & Technology Information (KISTI), National Science & Technology Information Service (NTIS)
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We provide the asymptotic theory for functionals of recurrent diffusions. Our asymptotics are completely general and applicable for all cases, including positive and null recurrent diffusions, and diffusions with and without the integrability conditions. They are established directly from the representation of diffusion as time-changed Brownian motion. Our approach provides a unified framework, and combines all existing theories of diffusion asymptotics with new results that appear to be particularly relevant in many practical applications. For an illustration of our asymptotics, we employ them to analyze a class of high frequency regressions that is commonly used in empirical economics and finance. (C) 2016 Elsevier B.V. All rights reserved.
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