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Comments on “Convergence Properties of the Likelihood of Computed Dynamic Models”
Author(s) -
Ackerberg Daniel,
Geweke John,
Hahn Jinyong
Publication year - 2009
Publication title -
econometrica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 16.7
H-Index - 199
eISSN - 1468-0262
pISSN - 0012-9682
DOI - 10.3982/ecta7669
Subject(s) - counterexample , constructive , proposition , mathematics , convergence (economics) , function (biology) , order (exchange) , econometrics , mathematical economics , computer science , economics , combinatorics , philosophy , process (computing) , epistemology , finance , evolutionary biology , biology , economic growth , operating system
We show by counterexample that Proposition 2 in Fernández‐Villaverde, Rubio‐Ramírez, 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.