Comments on "Convergence Properties of the Likelihood of Computed Dynamic Models"
Daniel Ackerberg (),
John Geweke and
Econometrica, 2009, vol. 77, issue 6, 2009-2017
We 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.
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
http://hdl.handle.net/10.3982/ECTA7669 link to full text (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ecm:emetrp:v:77:y:2009:i:6:p:2009-2017
Ordering information: This journal article can be ordered from
https://www.economet ... ordering-back-issues
Access Statistics for this article
Econometrica is currently edited by Guido Imbens
More articles in Econometrica from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().