Econometrica Vol. 77 No. 6 2009

Comments on ''Convergence Properties of the Likelihood of Computed Dynamic Models''

Daniel A. Ackerberg¹; John Geweke²; Jinyong Hahn¹

¹ University of California, Los Angeles · ² University of Technology Sydney

Abstract

We show by counterexample that Proposition 2 in Fernández-Villaverde, Rubio-Ramírez, and Santos (Econometrica (2006), 74, 93–119) 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.

DOI

10.3982/ecta7669

Volume

77

Issue

6

Pages

2009-2017

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

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