question about the optimal simple rule

[marvinsyrene]

I was wondering what is the optimization method used to calculate the optimal simple rule?
thanks

[SébastienVillemot]

Hi,

The “osr” command uses a rather straightforward algorithm: it runs a numerical optimizer. The optimizer explores the space of values for instruments declared in “osr_params”. The objective of the optimizer is the weighted variance/co-variance objective declared by the user. For a given value of instruments, this objective is computed by solving the model (as with “stoch_simul”) and by computing the corresponding theoretical or empirical moments.

Best,