Comments on "Convergence Properties of the Likelihood of Computed Dynamic Models"
AbstractWe show by counterexample that Proposition 2 in Fernandez-Villaverde, Rubio-RamÌrez, 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. Copyright 2009 The Econometric Society.
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Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 77 (2009)
Issue (Month): 6 (November)
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- Yi Wen & Huabin Wu, 2011.
"Dynamics of externalities: a second-order perspective,"
Federal Reserve Bank of St. Louis, issue May, pages 187-206.
- Yi Wen & Huabin Wu, 2008. "Dynamics of externalities: a second-order perspective," Working Papers 2008-044, Federal Reserve Bank of St. Louis.
- Dennis Kristensen & Bernard Salanie, 2013. "Higher-order properties of approximate estimators," CeMMAP working papers CWP45/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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