Show simple item record Tauchen, G 2010-03-09T15:38:52Z 1998
dc.identifier.citation Review of Economics and Statistics, 1998, 80 (3), pp. 389 - 398
dc.description.abstract 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.
dc.format.extent 389 - 398
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Review of Economics and Statistics
dc.title The objective function of simulation estimators near the boundary of the unstable region of the parameter space
dc.type Journal Article
dc.department Economics
pubs.issue 3
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.volume 80

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