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利用控制变量降低间接推断方差：连续时间利率模型AI 解读

Simulation estimators, such as indirect inference or simulated maximum likelihood, are successfully employed for estimating stochastic differential equations. They adjust for the bias (inconsistency) caused by discretization of the underlying stochastic process, which is in continuous time. The price to be paid is an increased variance of the estimated parameters. The variance suffers from an additional component, which depends on the stochastic simulation involved in the…

计量经济模型中事后预测方差的一则札记AI 解读

IT IS WELL KNOWN that in an econometric model, under general assumptions, the ex-post forecast error (conditional on predetermined variables) can be decomposed into the sum of two independent terms; the former is the component due to error in estimated coefficients, while the latter depends on the random error terms. The asymptotic covariance matrix of the first component can be analytically derived through intermediate computation of the covariance matrix of restricted…