Arellano (J Econ 42:247–265, 1989a) showed that valid equality restrictions on covariance matrices could result in efficiency losses for Gaussian PMLEs in simultaneous equations models. We revisit his two-equation example using finite normal mixtures PMLEs instead, which are also consistent...

This chapter is concerned with numerical simulation of dynamic economic models. We focus on some basic algorithms and assess their accuracy and stability properties. This analysis is useful for an optimal implementation and testing of these procedures, as well as to evaluate their performance....

This paper provides a general framework for the quantitative analysis of stochastic dynamic models. We review the convergence properties of some numerical algorithms and available methods to bound approximation errors. We then address the convergence and accuracy properties of the simulated...