Comments on 'Convergence Properties Likelihood of Computed Dynamic Models'

Ackerberg, D; Geweke, J; Hahn, J

Comments on 'Convergence Properties Likelihood of Computed Dynamic Models'

Ackerberg, D Geweke, J Hahn, J

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Publisher:: Wiley Interscience
Publication Type:: Journal Article
Citation:: Econometrica, 2009, 77 (6), pp. 2009 - 2017
Issue Date:: 2009-01

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Field	Value	Language
dc.contributor.author	Ackerberg, D	en_US
dc.contributor.author	Geweke, J	en_US
dc.contributor.author	Hahn, J	en_US
dc.date.issued	2009-01	en_US
dc.identifier.citation	Econometrica, 2009, 77 (6), pp. 2009 - 2017	en_US
dc.identifier.issn	0012-9682	en_US
dc.identifier.uri	http://hdl.handle.net/10453/12585
dc.description.abstract	We show by counterexample that Proposition 2 in Fernández-Villaverde, Rubio- Ramírez, and Santos (Econometrica (2006), 74, 93119) 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.	en_US
dc.publisher	Wiley Interscience	en_US
dc.relation.ispartof	Econometrica	en_US
dc.relation.isbasedon	10.3982/ECTA7669	en_US
dc.subject.classification	Econometrics	en_US
dc.title	Comments on 'Convergence Properties Likelihood of Computed Dynamic Models'	en_US
dc.type	Journal Article
utslib.citation.volume	6	en_US
utslib.citation.volume	77	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	1401 Economic Theory	en_US
utslib.for	1505 Marketing	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	open_access
pubs.consider-herdc	true	en_US
pubs.issue	6	en_US
pubs.volume	77	en_US

Abstract:

We show by counterexample that Proposition 2 in Fernández-Villaverde, Rubio- Ramírez, and Santos (Econometrica (2006), 74, 93119) 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.

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http://hdl.handle.net/10453/12585