Structural equation modeling with latent variables for diffusion processes based on high-frequency data
Year: 2022
Type: preprint
Abstract: We consider structural equation modeling (SEM) with latent variables for diffusion processes based on high-frequency data. We derive the quasi-likelihood estimators for parameters in the SEM. The goodness-of-fit test based on the quasi-likelihood ratio is proposed. Furthermore, the asymptotic properties of our proposed estimators are examined.
Source: arXiv (Cornell University)
Authors: Kusano, Shogo, Uchida, Masayuki
Institutions: The University of Osaka, Japan Science and Technology Agency
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W4307204243