Comments on “Convergence Properties of the Likelihood of Computed Dynamic Models”.
We show by counterexample that Proposition 2 in Fernández-Villaverde, Rubio-Ramirez, and Santos (Econometrica (2006), 74, 93-1.19) is false. We also show that even if their Proposition 2 were corrected, it would be irrelevant for parameter estimates. As a more constructive contribution, we consider...
| Publicado en: | Econometrica Vol. 77; no. 6; pp. 2009 - 2018 |
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| Autores principales: | , , |
| Formato: | Artículo |
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Wiley-Blackwell
November 2009
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=511452520&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 511452520 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00129682 ECN jtl: Econometrica issn: 00129682 maglogo: N pubinfo: dt: November 2009 vid: 77 iid: 6 pid: 480 pub: Wiley-Blackwell artinfo: ui: 511452520 10.3982/ECTA7669 ppf: 2009 ppct: 9 formats: tig: atl: Comments on “Convergence Properties of the Likelihood of Computed Dynamic Models”. aug: au: Ackerberg, Daniel Geweke, John Hahn, Jinyong su: Probability theory Economic convergence sug: subj: Probability theory Economic convergence ab: We show by counterexample that Proposition 2 in Fernández-Villaverde, Rubio-Ramirez, and Santos (Econometrica (2006), 74, 93-1.19) is false. We also show that even if their Proposition 2 were corrected, it would be irrelevant for parameter estimates. As a more constructive contribution, we consider the effects of approximation error on parameter estimation, and conclude that second order approximation errors in the policy function have at most second order effects on parameter estimates. Reprinted by permission of the publisher. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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