🌐 [translation-sync] [gallant_tauchen] Add a lecture on Gallant and Tauchen's efficient method of moments

.translate/state/gallant_tauchen.md.yml

@@ -0,0 +1,6 @@
+source-sha: f8d7e33de62f48ee0b25053fdc944065a9bc6614
+synced-at: "2026-10-12"
+model: claude-sonnet-5
+mode: NEW
+section-count: 15
+tool-version: 0.29.4

lectures/_static/quant-econ.bib

@@ -3849,6 +3849,33 @@ @article{muth1961
   year    = {1961}
 }
 
+@article{hart1975,
+  author  = {Hart, Oliver D.},
+  title   = {On the optimality of equilibrium when the market structure is incomplete},
+  journal = {Journal of Economic Theory},
+  volume  = {11},
+  number  = {3},
+  pages   = {418--443},
+  year    = {1975}
+}
+
+@unpublished{kihlstrom2019,
+  author = {Kihlstrom, Richard E.},
+  title  = {{The Role of Securities in the Allocation of Risk: Arrow's 1964 REStud Paper}},
+  note   = {Class notes, Wharton School, University of Pennsylvania},
+  year   = {2019}
+}
+
+@article{diamond1967,
+  author  = {Diamond, Peter A.},
+  title   = {The Role of a Stock Market in a General Equilibrium Model with Technological Uncertainty},
+  journal = {American Economic Review},
+  volume  = {57},
+  number  = {4},
+  pages   = {759--776},
+  year    = {1967}
+}
+
 @article{radner1972,
   author  = {Radner, Roy},
   title   = {Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets},
@@ -5359,78 +5386,190 @@ @article{ShakedSutton1982
 
 % --- Entries below added automatically by action-translation (#117) ---
 
-@book{Krishna2009,
-  author    = {Krishna, Vijay},
-  title     = {Auction Theory},
-  edition   = {2nd},
-  publisher = {Academic Press},
-  address   = {San Diego},
-  year      = {2009}
+@article{McFadden1989,
+  author  = {McFadden, Daniel},
+  title   = {A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration},
+  journal = {Econometrica},
+  volume  = {57},
+  number  = {5},
+  pages   = {995--1026},
+  year    = {1989},
+  doi     = {10.2307/1913621}
 }
 
-@book{Milgrom2004,
-  author    = {Milgrom, Paul},
-  title     = {Putting Auction Theory to Work},
-  publisher = {Cambridge University Press},
-  address   = {Cambridge},
-  year      = {2004}
+@article{PakesPollard1989,
+  author  = {Pakes, Ariel and Pollard, David},
+  title   = {Simulation and the Asymptotics of Optimization Estimators},
+  journal = {Econometrica},
+  volume  = {57},
+  number  = {5},
+  pages   = {1027--1057},
+  year    = {1989},
+  doi     = {10.2307/1913622}
 }
 
-@article{Klemperer1999,
-  author  = {Klemperer, Paul},
-  title   = {Auction Theory: A Guide to the Literature},
-  journal = {Journal of Economic Surveys},
-  volume  = {13},
-  number  = {3},
-  pages   = {227--286},
-  year    = {1999}
+@article{DuffieSingleton1993,
+  author  = {Duffie, Darrell and Singleton, Kenneth J.},
+  title   = {Simulated Moments Estimation of {Markov} Models of Asset Prices},
+  journal = {Econometrica},
+  volume  = {61},
+  number  = {4},
+  pages   = {929--952},
+  year    = {1993},
+  doi     = {10.2307/2951768}
 }
 
-@article{RileySamuelson1981,
-  author  = {Riley, John G. and Samuelson, William F.},
-  title   = {Optimal Auctions},
-  journal = {American Economic Review},
-  volume  = {71},
-  number  = {3},
-  pages   = {381--392},
-  year    = {1981}
+@article{GallantTauchen1996,
+  author  = {Gallant, A. Ronald and Tauchen, George},
+  title   = {Which Moments to Match?},
+  journal = {Econometric Theory},
+  volume  = {12},
+  number  = {4},
+  pages   = {657--681},
+  year    = {1996},
+  doi     = {10.1017/S0266466600006976}
 }
 
-@book{DavidNagaraja2003,
-  author    = {David, Herbert A. and Nagaraja, Haikady N.},
-  title     = {Order Statistics},
-  edition   = {3rd},
-  publisher = {Wiley},
-  address   = {Hoboken, NJ},
-  year      = {2003}
+@incollection{GallantTauchen2010,
+  author    = {Gallant, A. Ronald and Tauchen, George},
+  title     = {Simulated Score Methods and Indirect Inference for Continuous-Time Models},
+  booktitle = {Handbook of Financial Econometrics: Tools and Techniques},
+  editor    = {Aït-Sahalia, Yacine and Hansen, Lars Peter},
+  volume    = {1},
+  pages     = {427--477},
+  publisher = {Elsevier},
+  year      = {2010},
+  doi       = {10.1016/B978-0-444-50897-3.50011-0}
 }
-@article{hart1975,
-  author  = {Hart, Oliver D.},
-  title   = {On the optimality of equilibrium when the market structure is incomplete},
-  journal = {Journal of Economic Theory},
+
+@article{BollerslevWooldridge1992,
+  author  = {Bollerslev, Tim and Wooldridge, Jeffrey M.},
+  title   = {Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances},
+  journal = {Econometric Reviews},
   volume  = {11},
+  number  = {2},
+  pages   = {143--172},
+  year    = {1992},
+  doi     = {10.1080/07474939208800229}
+}
+
+@book{Gallant1987,
+  author    = {Gallant, A. Ronald},
+  title     = {Nonlinear Statistical Models},
+  publisher = {Wiley},
+  year      = {1987},
+  doi       = {10.1002/9780470316719}
+}
+
+@article{Andrews1991,
+  author  = {Andrews, Donald W. K.},
+  title   = {Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation},
+  journal = {Econometrica},
+  volume  = {59},
   number  = {3},
-  pages   = {418--443},
-  year    = {1975}
+  pages   = {817--858},
+  year    = {1991},
+  doi     = {10.2307/2938229}
 }
 
-@unpublished{kihlstrom2019,
-  author = {Kihlstrom, Richard E.},
-  title  = {{The Role of Securities in the Allocation of Risk: Arrow's 1964 REStud Paper}},
-  note   = {Class notes, Wharton School, University of Pennsylvania},
-  year   = {2019}
+@article{White1982,
+  author  = {White, Halbert},
+  title   = {Maximum Likelihood Estimation of Misspecified Models},
+  journal = {Econometrica},
+  volume  = {50},
+  number  = {1},
+  pages   = {1--25},
+  year    = {1982},
+  doi     = {10.2307/1912526}
 }
 
-@article{diamond1967,
-  author  = {Diamond, Peter A.},
-  title   = {The Role of a Stock Market in a General Equilibrium Model with Technological Uncertainty},
-  journal = {American Economic Review},
+@article{GourierouxMonfortRenault1993,
+  author  = {Gourieroux, Christian and Monfort, Alain and Renault, Eric},
+  title   = {Indirect Inference},
+  journal = {Journal of Applied Econometrics},
+  volume  = {8},
+  number  = {S1},
+  pages   = {S85--S118},
+  year    = {1993},
+  doi     = {10.1002/jae.3950080507}
+}
+
+@article{Smith1993,
+  author  = {Smith, Anthony A.},
+  title   = {Estimating Nonlinear Time-Series Models Using Simulated Vector Autoregressions},
+  journal = {Journal of Applied Econometrics},
+  volume  = {8},
+  number  = {S1},
+  pages   = {S63--S84},
+  year    = {1993},
+  doi     = {10.1002/jae.3950080506}
+}
+
+@article{DuffeeStanton2008,
+  author  = {Duffee, Gregory R. and Stanton, Richard H.},
+  title   = {Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation},
+  journal = {Journal of Financial Econometrics},
+  volume  = {6},
+  number  = {1},
+  pages   = {108--142},
+  year    = {2008},
+  doi     = {10.1093/jjfinec/nbm014}
+}
+
+@article{GallantNychka1987,
+  author  = {Gallant, A. Ronald and Nychka, Douglas W.},
+  title   = {Semi-Nonparametric Maximum Likelihood Estimation},
+  journal = {Econometrica},
+  volume  = {55},
+  number  = {2},
+  pages   = {363--390},
+  year    = {1987},
+  doi     = {10.2307/1913241}
+}
+
+@article{GallantTauchen1989,
+  author  = {Gallant, A. Ronald and Tauchen, George},
+  title   = {Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications},
+  journal = {Econometrica},
   volume  = {57},
-  number  = {4},
-  pages   = {759--776},
-  year    = {1967}
+  number  = {5},
+  pages   = {1091--1120},
+  year    = {1989},
+  doi     = {10.2307/1913624}
+}
+
+@article{GallantHsiehTauchen1997,
+  author  = {Gallant, A. Ronald and Hsieh, David and Tauchen, George},
+  title   = {Estimation of Stochastic Volatility Models with Diagnostics},
+  journal = {Journal of Econometrics},
+  volume  = {81},
+  number  = {1},
+  pages   = {159--192},
+  year    = {1997},
+  doi     = {10.1016/S0304-4076(97)00039-0}
+}
+
+@article{AndersenBenzoniLund2002,
+  author  = {Andersen, Torben G. and Benzoni, Luca and Lund, Jesper},
+  title   = {An Empirical Investigation of Continuous-Time Equity Return Models},
+  journal = {Journal of Finance},
+  volume  = {57},
+  number  = {3},
+  pages   = {1239--1284},
+  year    = {2002},
+  doi     = {10.1111/1540-6261.00460}
 }
 
+@article{BansalGallantHusseyTauchen1995,
+  author  = {Bansal, Ravi and Gallant, A. Ronald and Hussey, Robert and Tauchen, George},
+  title   = {Nonparametric Estimation of Structural Models for High-Frequency Currency Market Data},
+  journal = {Journal of Econometrics},
+  volume  = {66},
+  number  = {1-2},
+  pages   = {251--287},
+  year    = {1995},
+  doi     = {10.1016/0304-4076(94)01618-A}
+}
 @article{CIR1985,
   author  = {Cox, John C. and Ingersoll, Jonathan E. and Ross, Stephen A.},
   title   = {{A theory of the term structure of interest rates}},
@@ -5470,6 +5609,51 @@ @article{CampbellShiller1991
   number  = {3},
   pages   = {495--514}
 }
+@book{Krishna2009,
+  author    = {Krishna, Vijay},
+  title     = {Auction Theory},
+  edition   = {2nd},
+  publisher = {Academic Press},
+  address   = {San Diego},
+  year      = {2009}
+}
+
+@book{Milgrom2004,
+  author    = {Milgrom, Paul},
+  title     = {Putting Auction Theory to Work},
+  publisher = {Cambridge University Press},
+  address   = {Cambridge},
+  year      = {2004}
+}
+
+@article{Klemperer1999,
+  author  = {Klemperer, Paul},
+  title   = {Auction Theory: A Guide to the Literature},
+  journal = {Journal of Economic Surveys},
+  volume  = {13},
+  number  = {3},
+  pages   = {227--286},
+  year    = {1999}
+}
+
+@article{RileySamuelson1981,
+  author  = {Riley, John G. and Samuelson, William F.},
+  title   = {Optimal Auctions},
+  journal = {American Economic Review},
+  volume  = {71},
+  number  = {3},
+  pages   = {381--392},
+  year    = {1981}
+}
+
+@book{DavidNagaraja2003,
+  author    = {David, Herbert A. and Nagaraja, Haikady N.},
+  title     = {Order Statistics},
+  edition   = {3rd},
+  publisher = {Wiley},
+  address   = {Hoboken, NJ},
+  year      = {2003}
+}
 @article{ShapleyShubik1971,
   author  = {Shapley, Lloyd S. and Shubik, Martin},
   title   = {The Assignment Game {I}: The Core},

lectures/_toc.yml

@@ -30,7 +30,7 @@ parts:
   - file:  bayes_nonconj
   - file:  ar1_bayes
   - file:  ar1_turningpts
-- caption: 统计与信息论
+- caption: 统计与信息论 
   numbered: true
   chapters:
   - file: divergence_measures
@@ -50,6 +50,7 @@ parts:
   - file: survival_recursive_preferences
   - file: pricing_information
   - file: market_diffusion
+  - file: gallant_tauchen
 - caption: 线性规划
   numbered: true
   chapters:
@@ -159,6 +160,8 @@ parts:
   - file: lake_model
   - file: endogenous_lake
   - file: rational_expectations
+  - file: lucas_prescott_investment
+  - file: optimal_growth_uncertainty
   - file: re_with_feedback
   - file: markov_perf
   - file: uncertainty_traps
@@ -167,6 +170,7 @@ parts:
   - file: ak2
   - file: ak_aiyagari
   - file: two_computation
+  - file: lq_mean_field_games
 - caption: 资产定价与金融
   numbered: true
   chapters: