The objective function of simulation estimators near the boundary of the unstable region of the parameter space
Publication
, Journal Article
Tauchen, G
Published in: Review of Economics and Statistics
1998
The paper examines the role of stability constraints in estimation by dynamic simulation. In particular, it analyzes the behavior of the objective function on either side of the boundary of the stability region of the parameter space. The main finding is that stability constraints may be ignored because the simulation-based objective function contains a built-in penalty to enforce stability. A key caveat, however, is that the dynamic stability of the auxiliary model that defines the moment conditions must be checked and enforced. An attempt to fit via simulation to moments defined by a dynamically unstable auxiliary model can be expected to lead to an ill-behaved objective function.
Duke Scholars
Published In
Review of Economics and Statistics
Publication Date
1998
Volume
80
Issue
3
Start / End Page
389 / 398
Related Subject Headings
- Economics
- 1403 Econometrics
- 1402 Applied Economics
Citation
APA
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ICMJE
MLA
NLM
Tauchen, G. (1998). The objective function of simulation estimators near the boundary of the unstable region of the parameter space. Review of Economics and Statistics, 80(3), 389–398.
Tauchen, G. “The objective function of simulation estimators near the boundary of the unstable region of the parameter space.” Review of Economics and Statistics 80, no. 3 (1998): 389–98.
Tauchen G. The objective function of simulation estimators near the boundary of the unstable region of the parameter space. Review of Economics and Statistics. 1998;80(3):389–98.
Tauchen, G. “The objective function of simulation estimators near the boundary of the unstable region of the parameter space.” Review of Economics and Statistics, vol. 80, no. 3, 1998, pp. 389–98.
Tauchen G. The objective function of simulation estimators near the boundary of the unstable region of the parameter space. Review of Economics and Statistics. 1998;80(3):389–398.
Published In
Review of Economics and Statistics
Publication Date
1998
Volume
80
Issue
3
Start / End Page
389 / 398
Related Subject Headings
- Economics
- 1403 Econometrics
- 1402 Applied Economics