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...
| Published in: | Econometrica Vol. 77; no. 6; pp. 2009 - 2018 |
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| Main Authors: | , , |
| Format: | Article |
| Published: |
Wiley-Blackwell
November 2009
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| Subjects: | |
| Online Access: | View this record in EBSCOhost |
| Summary: | 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. |
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