Comments on "convergence properties of the likelihood of computed dynamic models"

Econometrica

Volumn 77, Issue 6, 2009, Pages 2009-2017

  Ackerberg, Daniel ^a   Geweke, John ^b,c   Hahn, Jinyong ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^c UNIVERSITY OF COLORADO   (United States)

Author keywords

Approximation error

Indexed keywords

EID: 71549155624     PISSN: 00129682     EISSN: 14680262     Source Type: Journal    
DOI: 10.3982/ECTA7669     Document Type: Article

References (7)

1. Ackerberg, D., J. Geweke, and J. Hahn (2009 Supplement to 'Comments on 'Convergence Properties of the Likelihood of Computed Dynamic Models' Econometrica Supplemental Material, 77, http://www.econometricsociety.org/ecta/ Supmat/7669-proofs.pdf.
2. Fernández-Villaverde, J., J. F. Rubio-Ramírez, and J. S. Santos (2005 Convergence Properties of the Likelihood of Computed Dynamic Models Technical Working Paper 315, NBER.
3. Fernández-Villaverde, J., J. F. Rubio-Ramírez, and J. S. Santos (2006 Convergence Properties of the Likelihood of Computed Dynamic Models Econometrica, 74, 93 119.
4. Geweke, J. (2007 Convergence Properties of the Likelihood of Computed Dynamic Models: Comment Unpublished Manuscript, University of Iowa, available at http://www.biz.uiowa.edu/faculty/jgeweke/papers/discussionA/comment.pdf.
5. Gouriéroux, C., and A. Monfort (1991 Simulation Based Inference in Models With Heterogeneity Annales d'Économie et de Statistique, 20/21, 69 107.
6. Hajivassiliou, V. A., and P. A. Ruud (1994 Classical Estimation Methods for LDV Models Using Simulation in Handbook of Econometrics, Vol. IV, ed. by R. F. Engle and D. L. McFadden. Amsterdam : Elsevier.
7. Newey, W. K., and D. McFadden (1994 Large Sample Estimation and Hypothesis Testing in Handbook of Econometrics, Vol. IV, ed. by R. F. Engle and D. L. McFadden. Amsterdam : Elsevier.