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

被引：9

作者：

Ackerberg, Daniel ^{[1
]}

Geweke, John ^{[2
,3
]}

Hahn, Jinyong ^{[1
]}

机构：

[1] Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA

[2] Univ Technol Sydney, Sydney, NSW 2007, Australia

[3] Univ Colorado, Boulder, CO 80309 USA

来源：

ECONOMETRICA | 2009年 / 77卷 / 06期

关键词：

Approximation error;

D O I：

10.3982/ECTA7669

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We show by counterexample that Proposition 2 in Fernandez-Villaverde, Rubio-Ramirez, 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.

引用

页码：2009 / 2017

页数：9