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- Ullah, Aman, et al. Show all 4 Authors
- Economics letters 2015 v.134 pp. 16-19
- ... This paper develops the approximate bias of the ordinary least squares estimator of the mean reversion parameter in continuous-time Lévy processes. Several cases are considered, depending on whether the long-run mean is known or unknown and whether the initial condition is fixed or random. The approximate bias is used to construct a bias corrected estimator. The performance of the approximate bias ...