6# yinhezhiwang
能找的都找了,还是不行.我用GRID SEARCH的目的主要是找出和市场价误差最小的一个估计,可关键是不明白为什么用GRID SEARCH就可以找到.给我的CLUE是"First look at the average gaps in the charts between est and actual, divide by average impact coefficient to get a rough agreement between the two. Then Grid Search around that. This gives 2x2 grid, one varying this and the other Lamda"

Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Bruce Hansen "Sample splitting and threshold estimation," Econometrica, (2000), 68, 575-603
Bruce Hansen "Inference in TAR models," Studies in Nonlinear Dynamics and Econometrics, (1997), 2

楼上热心。

LZ知道grid search方法怎么用了吗？