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Indirect inference and variance reduction using control variates

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  • Giorgio Calzolari
  • Francesca Di Iorio
  • Gabriele Fiorentini

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File URL: ftp://metron.sta.uniroma1.it/RePEc/articoli/2001-LIX-1_2-4.pdf
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Bibliographic Info

Article provided by Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome in its journal Metron.

Volume (Year): LIX (2001)
Issue (Month): 1-2 ()
Pages: 39-53

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Handle: RePEc:mtn:ancoec:2001:104

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  1. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
  2. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  3. Broze, L. & Scaillet, O. & Zakoïan, J.-M., . "Testing for continuous-time models of the short-term interest rate," CORE Discussion Papers RP -1177, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Chiara Monfardini, 1998. "Estimating stochastic volatility models through indirect inference," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C113-C128.
  5. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
  6. Broze, Laurence & Scaillet, Olivier & Zako an, Jean-Michel, 1998. "Quasi-Indirect Inference For Diffusion Processes," Econometric Theory, Cambridge University Press, vol. 14(02), pages 161-186, April.
  7. Gabriele Fiorentini & Francesca Di Iorio & Giorgio Calzolari, 1998. "- Control Variates For Variance Reduction In Indirect Inference: Interest Rate Models In Continuous Time," Working Papers. Serie AD 1998-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  8. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
  9. Calzolari, Giorgio & Fiorentini, Gabriele, 1994. "Conditional heteroskedasticity in nonlinear simultaneous equations," MPRA Paper 24428, University Library of Munich, Germany.
  10. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-27, July.
  11. Giorgio Calzolari & F. Di Iorio & G. Fiorentini, 1999. "Indirect Estimation of Just-Identified Models with Control Variates," Econometrics Working Papers Archive quaderno46, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  12. Mealli, Fabrizia & Rampichini, Carla, 1999. "Estimating binary multilevel models through indirect inference," Computational Statistics & Data Analysis, Elsevier, vol. 29(3), pages 313-324, January.
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Cited by:
  1. Di Iorio, Francesca & Calzolari, Giorgio, 2006. "Discontinuities in indirect estimation: An application to EAR models," Computational Statistics & Data Analysis, Elsevier, vol. 50(8), pages 2124-2136, April.

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