메뉴 건너뛰기




Volumn 59, Issue 1-2, 2001, Pages 39-53

Indirect inference and variance reduction using control variates

Author keywords

Control Variates; Indirect Inference; Variance reduction techniques

Indexed keywords


EID: 2442470322     PISSN: 00261424     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (2)

References (18)
  • 1
    • 0000605573 scopus 로고
    • The maximum likelihood and the nonlinear three-stage least squares estimator in the general nonlinear simultaneous equation model
    • Amemiya, T. (1977) The Maximum likelihood and the nonlinear three-stage least squares estimator in the general nonlinear simultaneous equation model, Econometrica, 45, 955-968.
    • (1977) Econometrica , vol.45 , pp. 955-968
    • Amemiya, T.1
  • 3
    • 25844446715 scopus 로고    scopus 로고
    • Indirect estimation of stochastic differential equation models: Some computational experiments
    • Bianchi, C. and Cleur, E. M. (1996) Indirect estimation of stochastic differential equation models: some computational experiments, Computational Economics, 9, 257-274.
    • (1996) Computational Economics , vol.9 , pp. 257-274
    • Bianchi, C.1    Cleur, E.M.2
  • 4
    • 0000113487 scopus 로고
    • Testing for continuous time models of the short-term interest rate
    • Broze, L., Scaillet, O. and Zakoïan, J. M. (1995) Testing for continuous time models of the short-term interest rate, Journal of Empirical Finance, 2, 199-223.
    • (1995) Journal of Empirical Finance , vol.2 , pp. 199-223
    • Broze, L.1    Scaillet, O.2    Zakoïan, J.M.3
  • 5
    • 0032329416 scopus 로고    scopus 로고
    • Quasi indirect inference for diffusion processes
    • Broze, L., Scaillet, O. and Zakoïan, J. M. (1998) Quasi indirect inference for diffusion processes, Econometric Theory, 14, 161-186.
    • (1998) Econometric Theory , vol.14 , pp. 161-186
    • Broze, L.1    Scaillet, O.2    Zakoïan, J.M.3
  • 6
    • 0002954117 scopus 로고    scopus 로고
    • Control variates for variance reduction in indirect inference: Interest rate models in continuous time
    • Calzolari, G., Di Iorio, F. and Fiorentini, G. (1998) Control variates for variance reduction in indirect inference: interest rate models in continuous time, Econometrics Journal, 1, C100-C112.
    • (1998) Econometrics Journal , vol.1
    • Calzolari, G.1    Di Iorio, F.2    Fiorentini, G.3
  • 9
    • 84977707412 scopus 로고
    • An empirical comparison of alternative models of the short-term interest rate
    • Chan, K. C., Karolyi, G. A., Longstaff, F. A. and Sanders, A.B. (1992) An empirical comparison of alternative models of the short-term interest rate, The Journal of Finance, 47, 1209-1227.
    • (1992) The Journal of Finance , vol.47 , pp. 1209-1227
    • Chan, K.C.1    Karolyi, G.A.2    Longstaff, F.A.3    Sanders, A.B.4
  • 10
    • 0001205798 scopus 로고
    • A theory of term structure of interest rates
    • Cox, J. C., Ingersoll, J. and Ross, S. A. (1985) A theory of term structure of interest rates, Econometrica, 53, 385-408.
    • (1985) Econometrica , vol.53 , pp. 385-408
    • Cox, J.C.1    Ingersoll, J.2    Ross, S.A.3
  • 13
    • 70350165204 scopus 로고
    • Monte carlo experiments in econometrics
    • ed. by Z. Grilliches and M.D. Intriligator, North-Holland, Amsterdam
    • Hendry, D. F. (1984) Monte Carlo Experiments in Econometrics, in Handbook of Econometrics, ed. by Z. Grilliches and M.D. Intriligator, North-Holland, Amsterdam, vol. II, 937-976.
    • (1984) Handbook of Econometrics , vol.2 , pp. 937-976
    • Hendry, D.F.1
  • 14
    • 0033611444 scopus 로고    scopus 로고
    • Estimating binary multilevel models through indirect inference
    • Mealli, F. and Rampichini, C. (1999) Estimating binary multilevel models through indirect inference, Computational Statistics & Data Analysis, 29, 313-324.
    • (1999) Computational Statistics & Data Analysis , vol.29 , pp. 313-324
    • Mealli, F.1    Rampichini, C.2
  • 15
    • 4243515136 scopus 로고    scopus 로고
    • Estimating stochastic volatility models through indirect inference
    • Monfardini, C. (1998) Estimating stochastic volatility models through indirect inference, Econometrics Journal, 1, C113-C128.
    • (1998) Econometrics Journal , vol.1
    • Monfardini, C.1
  • 16
    • 0000706085 scopus 로고
    • Asimple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W. K. and West, K. D. (1987)Asimple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 18
    • 0347078538 scopus 로고
    • An equilibrium characterization of the term structure
    • Vasicek, O. A. (1977) An equilibrium characterization of the term structure, Journal of Financial Economics, 5, 177-88.
    • (1977) Journal of Financial Economics , vol.5 , pp. 177-188
    • Vasicek, O.A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.