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The objective function of simulation estimators near the boundary of the unstable region of the parameter space

dc.contributor.author Tauchen, G
dc.date.accessioned 2010-03-09T15:38:52Z
dc.date.issued 1998
dc.identifier.uri https://hdl.handle.net/10161/2001
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.mimetype application/pdf
dc.language.iso en_US
dc.publisher MIT Press - Journals
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
duke.contributor.id Tauchen, G|0114412
pubs.begin-page 389
pubs.end-page 398
pubs.issue 3
pubs.organisational-group Duke
pubs.organisational-group Economics
pubs.organisational-group Trinity College of Arts & Sciences
pubs.volume 80


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