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

thanks

Hi,

The â€śosrâ€ť command uses a rather straightforward algorithm: it runs a numerical optimizer. The optimizer explores the space of values for instruments declared in â€śosr_paramsâ€ť. 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 â€śstoch_simulâ€ť) and by computing the corresponding theoretical or empirical moments.

Best,

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