Econometrica: Nov 2009, Volume 77, Issue 6
Comments on “Convergence Properties of the Likelihood of Computed Dynamic Models”
Daniel Ackerberg, John Geweke, Jinyong HahnWe 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.
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