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...

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Bibliographic Details

Published in:	Econometrica Vol. 77; no. 6; pp. 2009 - 2018
Main Authors:	Ackerberg, Daniel, Geweke, John, Hahn, Jinyong
Format:	Article
Published:	Wiley-Blackwell November 2009
Subjects:	Probability theory Economic convergence
Online Access:	View this record in EBSCOhost