Econometrica: Nov, 2009, Volume 77, Issue 6
Comments on “Convergence Properties of the Likelihood of Computed Dynamic Models”
https://doi.org/10.3982/ECTA7669
p. 2009-2017
Daniel Ackerberg, John Geweke, Jinyong Hahn
We show by counterexample that Proposition 2 in Fernández‐Villaverde, Rubio‐Ramírez, and Santos ( (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.
Supplemental Material
Supplement to "Comments on "Convergence Properties of the Likelihood of Computed Dynamic Models" by Fern?ndez-Villaverde, Rubio-Ram?rez and Santos"
This file contains proofs for the paper.
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